Abstract

Using the Tsay (1988) outlier identification methodology on daily log-returns of 16 commodity spot price series and 25 commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between January 1, 1997 and December 31, 2007. Results corroborate the existence of a transmission mechanism between news announcements and the return generating process. Moreover, removing the impact of the extreme events - outliers - improves the return and volatility estimates.

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