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 … structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

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

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

evidence for changes in persistence and in volatility of price across three well defined periods. We argue that historically …, the real price of oil has tended to be highly persistent and volatile whenever rapid industrialization in a major world … account for the increased volatility of oil price we observe in these periods …

market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … of oil prices. Our model predicts a large decline in this volatility …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and … their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the … overall amount of volatility in GDP growth. There is also a strong correlation between a country's average growth rate and the …