The asymmetric return-volatility relationship of commodity prices
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DOI: 10.1016/j.eneco.2018.10.022
Abstract: There is a well documented asymmetric return-volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return-volatility relationship of commodity prices and finds a positive… read more here.
Keywords: return volatility; volatility; volatility relationship; asymmetric return ... See more keywords