Studies of the term structure of interest rates try to explain the relationship between the yield to maturity on zero coupon bonds and their time to maturity. Over the years, many theoretical models have been developed to explain the stylized facts of U.S. Treasury yields; however, model...

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also...

type="main" <title type="main">ABSTRACT</title> <p>We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity...</p>