This analysis aims at developing forecasting models for both commodity volatility and commodity returns based on monthly data. I show that standard models of realized volatility are able to outperform both GARCH models and the random walk in terms of in-sample explanation power and out-of-sample...

We update our annual analysis of expected returns for 38 equity markets around the world. For the first time since we started our series in 2012, we find most emerging markets now exhibit higher expected returns than developed markets. In particular the expected returns for the core European...