The coincident rise in crude oil prices and increased number of financial participants in the crude oil futures market from 2000-2008 has led to allegations that “speculators” drive crude oil prices. As crude oil futures peaked at $147/bbl in July 2008, the role of speculators came under...

This paper analyzes and compares range-based and return-based variance/covariance estimates. We provide new results on the relative efficiency of the range. We show that the use of the range is compatible with time varying volatilities and we extend the range to a multivariate setup. A new...

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option-implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output...