, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous … models in the literature. The model is an affine three-factor model with one state variable driving the volatility and is … its volatility, and the volatility and convenience yield. It allows for expected mean-reversion in the short term and for …

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 …