Motivated by repeated price spikes and crashes over the last decade, we investigate whether the rapidly growing market shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it on expected and unexpected speculative open interest....

The role of speculators in the oil markets has been vastly investigated during the last few years. Several authors focused on the definition of speculation while others examined the relationship between oil prices and the behavior of trading actors. In this paper, we formulate a new theory able...

Using the model-independent approaches of Trolle and Schwartz (2008) and Kozhan et al (2013), we estimate the Variance Risk Premium and Skew Risk Premium for oil market. After estimation, the contribution of the paper is twofold. First, we try to figure out which variables can describe the...