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

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 …

is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also … fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at …

elasticity assumptions. We show speculation had little, if any, effect on prices and volatility …

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …