Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257631 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 2 [Article No.:] 33 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource commodity prices should follow a more complex process than geometric Brownian motion (GBM), which is linked to the Gaussian distribution. The presence of jumps (discontinuities) in several heavy metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns.
Subjects: 
metal prices
commodity prices
fat-tails
jump diffusion
GARCH
JEL: 
Q02
Q30
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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