This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture …

-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short …This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986 …

natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks …. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …