The study examines the uncertainty connectedness between oil and a bouquet of commodities. We construct a news-based index that measures commodity-specific uncertainty at a weekly frequency from January 2000 to May 2021. We examine the uncertainty network between oil and commodities using the...

This paper examines the information content of implied volatility for crude oil options as it relates to future realized volatility. Using data for the period 1996 to 2011 we find that implied volatility is an effective predictor of the month-ahead realized volatility. We show that implied...

This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and...