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 …

both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity … volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007-2013 period …

is most helpful for forecasting the VaR. The model that integrates the world industrial production index (GARCH …

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … outperforms a benchmark ARIMA specification both in and out of sample, suggests an approach for studying volatility in asset …

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … outperforms a benchmark ARIMA specification both in and out of sample, suggests an approach for studying volatility in asset …