We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market … volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with … commodity market volatility. The documented predictability is mainly observed in the period after the financialization of …

We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward …

Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in … prices (PPI). Much of this effect appears to be driven by volatility in the Energy markets. During the 2007-09 crisis …

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state …-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of …