ABSTRACT
This introduction presents an overview of the key concepts discussed in the subsequent chapters of this book. The book deals with specific characteristics of commodity markets, such as storage costs and the convenience yields. It discusses the importance of rollover in commodity returns, long memory and asymmetry in commodity returns and finally the non-linearities and asymmetries in the dependence on short-, mid-, and long-term volatilities. The book provides an overview of the financial volatility modeling in the univariate and multivariate framework. It also provides a comprehensive view on volatility dynamics in precious metals and crude oil markets. The book considers daily commodity data for use in practical trading systems. It proposes to study variance and volatility swaps and futures pricing for stochastic volatility models. The book aims to analyze the Autocorrelated Conditional Duration process applied to durations between financial events.
