GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both ‘bear' and ‘bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...

Price risk is an important factor for both copper purchasers who use the commodity as a major input in their production process and copper refiners who must deal with cash-flow volatility. We use information from NYMEX cash and futures prices to examine optimal hedging behaviour for agents in...

Price risk is an important factor for both copper purchasers, who use the commodity as a major input in their production process, and copper refiners, who must deal with cash‐flow volatility. Information from NYMEX cash and futures prices is used to examine optimal hedging behavior for agents...