-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility … -- Appendix 4.B Proof of Theorem 4.1 -- Appendix 4.C Proof of Corollaries 4.1 and 4.2 -- Chapter 5: Hedging Asymmetric Dependence …

Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We … study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous … autoregressive (HAR) models. Based on a high-frequency futures price dataset of 22 commodities, we confirm that the volatility of …