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

market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … of oil prices. Our model predicts a large decline in this volatility …

an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

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 …

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

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 …

assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …