| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects
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| Autores: |
Karali, Berna
Thurman, Walter N.
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| Data: |
2008-06-26
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| Ano: |
2008
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| Palavras-chave: |
Volatility persistence
Theory of storage
Volatility
Futures markets
Lumber
Agricultural Finance
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| Resumo: |
Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/37612
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| Relação: |
NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2008 Conference, April 21-22, 2008, St. Louis, Missouri
2008 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
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| Formato: |
22
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