Modeling Discontinuous periodic conditional volatility: Evidence from the commodity futures market

Article Abstract:

The study of models is important in study of commodity futures. The various models that allow for complex and discontinuous periodic variation in conditional volatility are examined in relation to high frequency commodity futures return data.

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Long memory in commodity futures volatility: a wavelet perspective

Article Abstract:

The simulation of the volatility of agricultural commodity futures to determine the occurrence of fractional integration is presented. The usage of wavelet-based estimators during this process is discussed.

South Korea, Usage, Estimation theory

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Commodity trading advisors' leverage and reported margin-to-equity ratios

Article Abstract:

The use of leverage by commodity traders increases returns but reduces survival likelihood. However, commodity trading advisors' diversification brings higher leverage and volatility levels.

Leverage (Finance), Leverage, Margins (Futures trading), Financial leverage

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