Title
The Empirical Behavior of Commodity Prices at High Frequencies
Abstract
I analyze the intraday prices and volatility of three exchange-traded agricultural commodities at high-frequencies. The dataset spans only a few trading days, but includes every transaction on the exchanges down to the microsecond. After reviewing some of the empirical issues with high-frequency data and the methods in the literature devoted to estimating volatility from them, I develop an approach that can disentangle the continuous or integrated volatility from discrete jumps in the price process. I illustrate applications to estimating spot volatility and in volatility forecasting, and conclude that these methods provide useful refinements to existing approaches.
Description
University of Minnesota M.S. thesis. December 2016. Major: Applied Economics. Advisor: Glenn Pederson. 1 computer file (PDF); vi, 72 pages.
Suggested Citation
Mahon, Joseph.
(2016).
The Empirical Behavior of Commodity Prices at High Frequencies.
Retrieved from the University of Minnesota Digital Conservancy,
https://hdl.handle.net/11299/185080.