Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts.
The volatility of commodities prices such as oil or minerals is an important issue for small and open economies that depends on raw materials. For example, in many countries of Latin America, the volatility of commodities can a¤ect operational cost or investment schedules of business related to the...
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| Format: | Dissertation |
| Language: | English |
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Pontificia Universidad Católica del Perú
2015
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| Online Access: | http://hdl.handle.net/20.500.12404/6379 |