volatility of primary commodity prices-metals are no exception. Recent events have led experts to believe that trends have been … for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and … trends over certain lengths of time remains a contentious issue. We combine robust econometric procedures to calculate the …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

vary according to whether they are in low or high volatility regimes. …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Commodity price volatility can create concern for central bank policy-makers. Recent commodity prices peaked in the … volatility are crucial for the conduct of monetary policy (Svensson, 2005). Using an autoregressive moving average with an … series to identify volatility spillovers between monetary policies and commodity price index. The findings show that the …

the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple … various subsamples and estimation windows. Volatility forecasts produced by the base model also convey material forward …-looking information for companies in the REE industry. Thus, an active trading strategy based on REE volatility forecasts for these …

We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous …-sample analysis shows that the variants of the HAR model which decompose volatility measures into their continuous path and jump … volatility decomposition or relative transformations of volatility, in the forecasting models …