The Empirical Behavior of Commodity Prices at High Frequencies
2016-12
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The Empirical Behavior of Commodity Prices at High Frequencies
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2016-12
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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.
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University of Minnesota M.S. thesis. December 2016. Major: Applied Economics. Advisor: Glenn Pederson. 1 computer file (PDF); vi, 72 pages.
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Mahon, Joseph. (2016). The Empirical Behavior of Commodity Prices at High Frequencies. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/185080.
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