We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

We show that the innovation in the risk-neutral probability of large downward and upward jumps in oil prices has a considerable predictive power for important economic indicators such as GDP growth, consumption growth, and total investment. In addition, we observe that the upside jump risk...

I examine the information sequential hypothesis in complementary oil markets. Unlike the underreaction hypothesis suggested as an explanation to the lagged negative oil effect of financial return, a sequential information schedule through crude oil and gasoline provides a differential dynamic in...