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 …

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 …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …