This paper examines the changes in price and return dynamics that affected the commodity market around the 2007-2008 boom&bust. Relying on data at intra-day frequency and adapting the recently proposed realized Beta GARCH model of Hansen et. al (J. Appl. Econ.(2014)), it is shown that starting...

The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications. As a result,...

Over the last two decades, commodity indices have been increasingly used to achieve investment portfolio diversification. At the same time, the rise in the popularity of these indices has prompted questions on whether commodities remained segmented from traditional financial asset markets, which...

Models for realized covariance matrices may suffer for the curse of dimensionality as more traditional multivariate volatility models(such as GARCH and stochastic volatility). Within the class of realized covariance models we focus on the Wishart specification introduced by Gourieroux et al....