We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators...

We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial markets. To the contrary, speculative trading activity...

This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among ten emerging foreign exchange markets in Asia and Latin America, together with potential spillovers from major external stock and foreign currency markets. The framework allows...

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...

This paper investigates whether positive and negative returns share the same dynamic volatility process. The well established stylized facts on volatility persistence and asymmetric effects are re-examined in light of such dichotomy. To analyze the dynamics of up and down volatilities estimated...

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...