Heavy metals: Might as well jump

Artikel

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource commodity prices should follow a more complex process than geometric Brownian motion (GBM), which is linked to the Gaussian distribution. The presence of jumps (discontinuities) in several heavy 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 complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-14 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Commodity Markets ; Nonrenewable Resources and Conservation: General ; Financial Econometrics
• Thema: metal prices ; commodity prices ; fat-tails ; jump diffusion ; GARCH

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Wilmot, Neil A.
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/ijfs7020033
• Handle: http://hdl.handle.net/10419/257631
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ