Carpantier, Jean-François; Dufays, Arnaud - Centre de Recherche en Économie Appliquée (CREA), … - 2013
Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asym- metric volatility models for a large set of commodities over 1994-2011. Since inventories are hard to measure, especially for high frequency...