We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the statistical and the economic validity of the measures. The option-implied measure of Bollerslev and Todorov (2011b) (BT11Q) performs the best overall. While some other tail risk...

We develop a framework to quantify the convenience yield risk (CYR) inherent to each commodity futures market. Implementing our approach, we document that our novel CYR measure is informative about future commodity returns. In panel regressions, the CYR predicts future returns with a positive...

In this paper we empirically investigate the consequences of domestic systemic risk for stock market investors. To tackle this issue, we consider two different investment strategies. One strategy is to be 'crisis-conscious,' i.e. taking the possibility of systemic events into account, the other...

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between...