Abstract:PurposeThis paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets.Design/methodology/approachThis paper proposes a partially new measure of idiosyncratic volatility in commodity futures markets based on the Schwartz and Smith (2000) short-term/long-term model. This model enables us to capture systematic risks of commodity futures markets in a parsimonious way.FindingsUsing a sample of futures contr… Show more
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