We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–
66 days using a variety of models relying on the decomposition of realized variance in its …

The literature on range volatility modeling has been rapidly expanding due to its importance
and applications. This chapter provides alternative price range estimators and discusses …

This chapter deals with international policy issues relevant to world price volatility in basic
foodstuffs, particularly the extent to which multilateral trade rules are conducive to an …

Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the
Clean Development Mechanism (CDM), this book demonstrates how to use a variety of …

There has been a rapid growth of range volatility due to the demand of empirical finance.
This paper contains a review of the important development of range volatility, including …

This paper studies subordinate Ornstein–Uhlenbeck (OU) processes, ie, OU diffusions time
changed by Lévy subordinators. We construct their sample path decomposition, show that …

We investigated the determinants of daily volatility for natural gas nearby-month futures
traded on the NYMEX within a GARCH framework augmented with market fundamentals …

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and
oats markets from 1986 to 2007. Combining the information from simultaneously traded …

Stochastic volatility, price jumps, seasonality, and stochastic cost of carry have been
included separately, but not collectively, in pricing models of agricultural commodity futures …

This study considers the evolution of price discovery in the S&P 500 E‐mini futures and the
corresponding exchange traded fund (SPY ETF) over the period January 2002 through …