the put spread cannot be attributed to an increase in idiosyncratic risk because the correlation of stock returns …

Agricultural and energy commodity prices have traditionally exhibited relatively low correlation. However, recent … that, in the presence of a binding RFS, the inherent volatility in the US coarse grains market will rise by about one …-quarter. And the volatility of the US coarse grains price to supply side shocks in that market will rise by nearly one-half. Under …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods … the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of Samp;P 500 …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …