As correlations of asset returns increased and diversification effects vanished during the financial crisis, the search for new and potentially uncorrelated asset classes gains importance. As a result, several asset classes have been analyzed by academics in order to determine their...

Republished as CIE Working Paper 2015-02

Ameriks, Caplin, Leahy & Tyler (2007) study how lack of self-control may lead to overconsumption and low wealth accumulation. For their analysis, the authors calculate difference scores from their survey questions. We review their study and highlight potential issues in the use of difference...

The strategic importance of rare earth elements (REEs) has become increasingly important because of their relative scarcity and worldwide increasing demand, as well as China’s quasi-monopoly of this market. REEs are virtually not substitutable, and they are essential for a variety of...

"How do the risk factors that drive asset prices influence exchange rates? Are the parameters of asset price processes relevant for specifying exchange rate processes? Most international asset pricing models focus on the analysis of asset returns given exchange rate processes. Little work has...

Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models’ option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected. In contrast,...

Many commodity markets contain a strong seasonal component in volatility. In this paper, the importance of this seasonal behavior for the pricing of commodity options is analyzed. We propose a stochastic volatility model where the drift term of the variance process captures the observed seasonal...