Commodities Inventory Effect

@inproceedings{Carpantier2010CommoditiesIE,
  title={Commodities Inventory Effect},
  author={Jean-François Carpantier},
  year={2010}
}
Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are the main contributors to the conditional variance of commodity prices. The theory of storage, by relating the state of the inventories of a commodity to its conditional variance, is a serious candidate to… CONTINUE READING
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