Winter storm Uri impacted large swaths of the Continental United States, including the State of Texas, over the period Feb. 13 -- Feb. 17, 2021. This research attempts to discern what the natgas and power commodity markets are anticipating for Texas for the First Quarter of 2022. As of this...

We study the price impact of order flow in the world’s largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain price changes and to significantly predict future price changes. Our results are shown to be robust to various order flow...

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January 1990 to July 2016, our model simultaneously matches...

Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator (especially hedge fund) profits are positive; that speculators and hedgers who hold long (short) positions when likely hedgers in aggregate are net short (long) have higher...

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations in commodity markets volatility. The volatility...

The commodity futures basis—the difference between the first and second futures prices—is known to forecast commodity futures returns, arguably through its relation with the convenience yield. We propose a refined measure of the basis, dubbed the relative basis, which is the difference...

We examine the ability of idiosyncratic skewness to explain the cross section of commodity futures returns at both the characteristic and factor levels. We find that idiosyncratic skewness negatively and significantly predicts cross-sectional commodity futures returns, and largely accounts for...

This paper explores stock return predictability by exploiting the cross-section of oil futures prices. Motivated by the principal component analysis, we find the curvature factor of the oil futures curve predicts monthly stock returns: a 1% per month increase in the curvature factor predicts...