In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two … price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more …

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage …We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an … analyses confirm the existence of volatility transmission among the majority of the sample countries' gold futures. This …

This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries … approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for …