structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

the world economy. We analyze the impact of the advent of fracking on the volatility of oil prices. Our model predicts a … large decline in this volatility …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration …, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de …

world rate of interest(intertemporal terms of trade effects) and, for rigid wages, changes in employment. Thus Industria … gains from the intertemporal terms of trade effect if it is a net borrower and the world rate of interest falls. Precise … conditions for whether the world rate of interest falls or rises are given.We also show that Industria may gain from subsidizing …

post-World-War-II oil shocks reviewed include the Suez Crisis of 1956-57, the OPEC oil embargo of 1973-1974, the Iranian …