The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
The authors thank Bob Webb (the editor) and an anonymous referee for their helpful comments and suggestions. We are also grateful to Hossein Asgharian, Charlotte Christiansen, Bent Jesper Christensen, Karl Frauendorfer, Pascal Gantenbein, Björn Hansson, Heino Bohn Nielson, Anders Rahbek, Paul Söderlind, Klaus Spremann, and seminar participants at Lund University and the University of St. Gallen, a
