To explain price volatility in the U.S. agricultural, energy, and metal futures markets, we estimate a model of common and commodity-specific, high- and low-frequency factors by building on the spline-GARCH model of Engle and Rangel (2008). A better model fit results from allowing the...

Weather insurance within the agricultural sector has been limited by the difficulty in defining the appropriate weather event and in pricing the product. We develop a new pricing method for weather insurance under situations where returns depend not only on the occurrence of the weather event,...