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Published in 2018 at "Energy Economics"
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…
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Keywords:
return volatility;
volatility;
volatility relationship;
asymmetric return ... See more keywords