Commodities Volatility and the Theory of Storage

Abstract

One implication of the theory of storage states that commodity price volatility should increase when inventories are low. We document this volatility feature by estimating asymmetric volatility models for 16 commodity return series, on the period 1994-2011 and show how to account for this feature in Value-at-Risk forecasting. Our contribution is threefold… (More)

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Cite this paper

@inproceedings{Carpantier2012CommoditiesVA, title={Commodities Volatility and the Theory of Storage}, author={Jean-François Carpantier and Arnaud DUFAYS and Fr{\'e}d{\'e}rique Bec and Michel Beine and Vincent Bodart}, year={2012} }