We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

installations and risk-return considerations related to the financial nature of carbon permits. We estimate it with autoregressive … increased volatility is not associated with an increased return. The price of allowances and credits are explained by similar … factors. However, whereas the corresponding returns present comparable dynamics, the long-term relationships between the price …

tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper … magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … international tourism are significant financial assets to the economies of SITEs, the time-varying volatility of international …

natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short …This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt …) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986 …

In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the … first differences, price returns, as well as error correction and autoregressive distributed lag models) in terms of their … volume. We explain how to compute a bid/ask spread and to construct the hedging position for the JCC swap. Fourth, we …

the scale of the potential contributions of biofuels to be extremely small in both the U.S. and EU. Mandated U.S. corn …