In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries … approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for …

commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …