Chiarella, Carl; Kang, Boda; Nikitopoulos-Sklibosios, … - Finance Discipline Group, Business School - 2012
This paper analyzes the volatility structure of commodity derivatives markets. The model encompasses stochastic volatility that may be unspanned by futures contracts. A generalized hump-shaped volatility specification is assumed that entails a finite-dimensional affine model for the commodity...