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 …

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 …

In this paper, we study the role of the volatility risk premium for the forecasting performance
of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the …

In recent years, Germany has significantly increased its share of electricity produced from
renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG …

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 …

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 …

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 …

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 …

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 …