structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the … which the duration of observed contracts changes with each observation. We document significant changes in oil futures risk …

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 …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." 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 …

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute …

The financialization view is that increased trading in commodity futures markets is associated with increases in the … growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased … commodities with and without futures markets, we find no empirical link between increased futures market trading and changes in …

-language-based approach, has a large effect on exchange rate returns over the ensuing year, is closely linked to the VIX, and becomes … relative to the dollar (carry) and the future returns from investing in its currency switches sign from the pre- to the post …-crisis subperiod, while for EMs the carry variable is never a significant predictor of returns. The high profit from the carry trade …

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent … example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …