We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options of firms with establishments in the landfall region exhibit large, long-lasting increases in implied volatility, reflecting impact...

We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options of firms with establishments in the landfall region exhibit large, long-lasting increases in implied volatility, reflecting impact...

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

The power system has to deal with three main sources of uncertainty: demand uncertainty and load prediction errors, failure of power plants and uncertainty of wind. The growing share of wind and other intermittent generation sources in the European supply increases the uncertainty about power...

Realized volatility of financial time series generally shows a slow-moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long-memory, Markov...

We present a statistic to generally represent extremes in the distribution of temperature anomalies and demonstrate its consequences on financial markets. The diverse shocks that our measure portrays are established to be primary drivers of electricity consumption and the weather futures market....

We introduce a novel measure of weather risk implied from weather options' contracts. WIVOL captures risks of future temperature oscillations, increasing with climate uncertainty about physical events and regulatory policies. We find that shocks to weather volatility increase the likelihood of...

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We investigate whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a...

Using daily data, we provide fresh international evidence that an occurrence of natural disaster is accompanied by an increase in the market implied volatility of the main equity index in the same country contemporaneously and in the future. The relation between market implied volatility and...