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Chari, Varadarajan V. - 2017

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

Persistent link: https://www.econbiz.de/10012948088

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2007

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012778140

Commodity Price Forecasts, Futures Prices and Pricing Models

Cortazar, Gonzalo - 2017

Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures...

Persistent link: https://www.econbiz.de/10012965958

Commodity Connectedness

Diebold, Francis X. - 2017

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...

Persistent link: https://www.econbiz.de/10012949432

The Financialization of Commodity Markets

Cheng, Ing-Haw - 2013

The large inflow of investment capital to commodity futures markets in the last decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows either did or did not cause a price...

Persistent link: https://www.econbiz.de/10013072871

Index Investment and Financialization of Commodities

Tang, Ke - 2010

This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular...

Persistent link: https://www.econbiz.de/10013137731

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo - 2010

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

Persistent link: https://www.econbiz.de/10013150436

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

Persistent link: https://www.econbiz.de/10013081835

Level and Volatility Factors in Macroeconomic Data

Gorodnichenko, Yuriy - 2017

level of the fundamentals. Though volatility shocks could be important too, their propagating mechanism is still not well … can separate the level factors from the volatility factors and assess their relative importance without directly … estimating the volatility processes. This is made possible by exploiting features in the second order approximation of …

Persistent link: https://www.econbiz.de/10012949929

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben - 2012

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

Persistent link: https://www.econbiz.de/10013107009