BROOKS, CHRIS; PROKOPCZUK, MARCEL - In: Quantitative Finance 13 (2013) 4, pp. 527-542
<title>Abstract</title> In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our...