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

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 … of oil prices. Our model predicts a large decline in this volatility …

convenience yields given reasonableelasticity assumptions. We show speculation had little, if any, effect on prices and volatility …

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

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …