Wilmot, Neil A. - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-14
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of … prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes …-or jump-in prices. This suggests that natural resource commodity prices should follow a more complex process than geometric …