CARPANTIER, Jean - François - Center for Operations Research and Econometrics (CORE), … - 2010
candidate to explain the phenomenon, as positive price shocks for commodities usually serve as proxies for the deterioration of … subsamples, for diverse types of commodities and for different ways of specifying the asymmetry, though weaker than the leverage … effect for equity stocks. Appropriately specifying the asymmetric conditional variance of commodities could improve risk …