Futures Commitments and Commodity Price Jumps
β Scribed by Arjun Chatrath; Frank Song
- Book ID
- 109178146
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 851 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
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## Abstract In examining stochastic models for commodity prices, central questions often revolve around timeβvarying trend, stochastic convenience yield and volatility, and mean reversion. This paper seeks to assess and compare alternative approaches to modelling these effects, with focus on foreca
ack of complete classification of commodity futures commitments has been a L continual shortcoming of futures trading data. A total enumeration of all traders on a systematic basis has proven both costly and impractical to implement (Larson, 1961). There have been spot checks and special surveys of