Kim, Jae H.; Doucouliagos, Hristos - Department of Econometrics and Business Statistics, … - 2005
Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility … methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean and wheat). The … realized volatility estimates exhibit the properties consistent with the stylized facts observed in earlier studies. According …