… m of our data set by:(17) s m t = 1 w ∑ j = 1 w S m , j t , where w is the number of weeks within
month m and S m… ,.., 168, is the price vector, of length 168, observed for week j of month m. …

Historically, European Jews have specialized in financial services while being the victims of
antisemitism. We find that the present-day demand for finance is lower in German counties …

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six
of the most important commodity markets and we compare these properties with those of the …

This paper characterizes the dynamics of jumps and analyzes their importance for volatility
forecasting. Using high‐frequency data on four prominent energy markets, we perform a …

We employ a large dataset of physical inventory data on 21 different commodities for the period
1993–2011 to empirically analyze the behavior of commodity prices and their volatility as …

Price movements in many commodity markets exhibit significant seasonal patterns. However,
given an observed futures price, a deterministic seasonal component at the price level is …

We analyze the relationship between economic uncertainty and commodity market volatility.
We find that commodity market volatility comoves strongly with economic and financial …

Understanding the mechanisms that drive extreme negative and positive prices in day-ahead
electricity prices is crucial for managing risk and market design. In this paper, we consider …

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 …

… relative performance of the SSV Model could potentially be downward biased and it will be
interesting to see how the SSV Model performs in comparison to the SV Model in our study. …