We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001-December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized...

This paper considers a financial market where the asset prices and the corresponding volatility are driven by a multidimensional mixture of Wiener shocks and Poisson jumps. While implied volatility is characterized by spikes, the existing models rely on the restrictive assumption of positive...