The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and … show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage … effect” – the volatility is higher following positive price shocks – is found in more than half of the daily spot prices. The …

This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the …

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based … volatility series of aluminum is most useful in enhancing the accuracy of forecasts for other metals. While consistently …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the … respective continuous futures series. We compare roll methodologies to see whether they have similar volatility and efficiency …