Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - Finance Discipline Group, Business School - 2013
By employing a continuous time stochastic volatility model, we analyse the dynamic relation between price returns and … volatility changes in the commodity futures markets. We use an extensive daily database of gold and crude oil futures and futures … options to estimate the model that is well suited to assess the return–volatility relation for the entire term structure of …