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

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the …

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

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 …

information from price changes in other markets. This provides a channel through which a quot;mistakequot; in one market can be … transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the … with volatility …

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

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

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 …