This paper is the first to investigate the time-varying effects of global economic policy
uncertainty (GEPU) shocks on the volatility of two international pricing benchmarks for crude …

In this paper, we empirically examine the impact of uncertainty shocks on the volatility of
commodity prices. Using several alternative measures of economic uncertainty for the US …

This article analyzes recent volatility spillovers in the United States from crude oil using
futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in …

In this paper, we empirically examine the predictive power of macroeconomic uncertainty on
the volatility of agricultural, energy and metals commodity markets. We find that the latent …

We analyze the variance risk of commodity markets. We construct synthetic variance swaps
and find significantly negative realized variance swap payoffs in most markets. We find …

This paper reviews extant research on commodity price dynamics and commodity derivative
pricing models. In the first half, we provide an overview of key characteristics of commodity …

We examine empirically the predictability of conditions associated with a higher probability
of a price spike in agricultural commodity markets. We find that the forward spread is the …

This paper proposes a framework for examining the interaction between stock market
volatilities and economic uncertainty shocks, aiming to understand better the influence of …

In this paper, we study variance risk premia in commodity markets. Using synthetic variance
swaps, we find significant variance risk premia in 18 out of 21 markets. Typically, variance …

In this paper we examine empirically the predictive power of model‐free option‐implied
variance and skewness in wheat, maize and soybeans derivative markets. We find that …