We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past deca[...]

The Homoscedastic Gamma (HG) model characterizes the distribution of returns by its mean, variance and an independent skewness parameter. The HG model preserves the parsi[...]

Risk aversion functions extracted from observed stock and option prices can be negative, as shown by Ait-Sahalia and Lo (2000), Journal of Econometrics 94: 9-51; and Jack[...]

Structural or no-arbitrage asset-pricing models emphasize risk factors that cannot be observed directly. We show that the term structure of risk implicit in option prices[...]

This paper studies tail risk and its option-implied risk compensation in the crude oil market. We identify economically large premia for upside and downside tail risks th[...]

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield[...]

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]

Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the[...]

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]