long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

effects on prices and volatility. The impact of the financial investment of index traders is analyzed using Granger Causality … returns or volatility, (ii) changes in returns or volatility effects on aggregate commodity index trader positions, and (iii …) disaggregated commodity index trader positions effects on contract returns or volatility during the roll period. Results show index …

volatility in futures prices. Model results indicate that futures prices volatility is higher in summer months, increases as time … quickly resolved. We name this decline in volatility in the last two trading months Inverse Samuelson effect. Further results …