silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This … prices. Interestingly, our analysis further reveals that volatility and uncertainty in prices can be disconnected. This is … volatility do not generate price uncertainty, highlighting the relevance of our uncertainty measure in linking uncertainty to …

We extend the body of research, formerly covering the range derivative contracts and implied volatility pricing, to … incorporate volatility clustering in forecasting and hope to derive diversification benefits alongside enhanced trading …

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We … show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate … temperatures, a +1oC increase in temperature volatility causes on average a 0.9 per cent decline in GDP growth and a 1.3 per cent …

attributed to commodity price volatility in developed and developing countries, with the uncertainty effect being more …

oil price volatility on each sector in Japan, the world's third-largest crude oil consumer. In order to do so, we apply a … most sectors to oil price volatility declined. …

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high …

investigate how oil price volatility behaves when the index unexpectedly changes. I find that unexpected increases in the … newspaper index are strongly associated with higher levels of oil price volatility, both realized and implied. In some cases …, interest levels and price volatility appear to be driven by the OPEC event itself, such as the Iraq invasion of Kuwait. In …

oil price volatility on each sector in Japan, the world’s third-largest crude oil consumer. In order to do so, we apply a … most sectors to oil price volatility declined …