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

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 …

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

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

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 …

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 …