We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric...

This study analysed forecasts for all US corn, soya bean and wheat categories published within the World Agricultural Supply and Demand Estimates (WASDE ) reports over the 1987/88 through 2009/10 marketing years in an attempt to identify patterns and better understand when the USDA forecasters...

Recent failures of renewable energy plants have raised concerns regarding government's role in providing credit subsidies and have harmed the long-run development of renewable energy. The major reason for these failures lies in government loan appraisers not having a model that addresses these...

To explain price volatility in the U.S. agricultural, energy, and metal futures markets, we estimate a model of common and commodity-specific, high- and low-frequency factors by building on the spline-GARCH model of Engle and Rangel (2008). A better model fit results from allowing the...