Analyzing commodity market dynamics, we observe that price volatility increases with reduced contract duration. In this … price volatility is triggered by restricted participation of suppliers in the market for quarter-hourly products as well as …

shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …

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 …