Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
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- 作者：Pavel Teterin pteterin@crimson.ua.edu" class="auth_mail" title="E-mail the corresponding author ; Robert Brooks ; rbrooks@cba.ua.edu" class="auth_mail" title="E-mail the corresponding author ; Walter Enders wenders@cba.ua.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：C32 ; G13 ; Q10 ; Q40
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：38
- 期：part_PA
- 页码：22-36
- 全文大小：1781 K
文摘
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Trigonometric terms can be used to detect structural change in volatility.
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Controlling for structural change using trigonometric terms can reduce model persistence.
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There are structural breaks in the volatility of corn and crude oil futures.
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Term structure of corn and crude oil futures volatility changes over time.
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Volatility in corn and crude oil futures markets is less persistent than a standard GARCH model might indicate.