Bohl, Martin T.; Javed, Farrukh; Stephan, Patrick M. - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 59 (2013) 2, pp. 125-148
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the intensive investment activities of commodity index traders (CITs) have destabilized agricultural futures markets. Using a stochastic volatility model, we treat conditional volatility as an unobserved...
