Commodity futures have long been used to facilitate risk management and inventory stabilization. The study of commodity futures prices has attracted much attention in the literature because they are highly volatile and because commodities represent a large proportion of the export value in many...

Purpose – Pricing densities implied from options on live cattle futures show a persistent and negative skew. The purpose is to examine whether the skew can be explained, in part, by peso-type problems. Design/methodology/approach –Two announcements of bovine spongiform encephalopathy (BSE)...

Commodity price volatility increased during 2006 to 2011 first with the commodity bull cycle of 2006 to 2008 and then with the credit freeze crisis and Great Recession. This letter uses both high- and low-frequency data over 1990 to 2011 to examine the link between economic fundamentals and...

This article investigates the time series relationship between equity and crude oil markets using option-implied risk-neutral moments. We recover daily time series of constant-maturity risk-neutral volatility (RNV), skewness and kurtosis using options data for the S&P 500 and WTI oil futures...

Commodity cash and futures prices experienced a severe boom-and-bust cycle between 2006 and 2009. Increases in commodity price volatility have raised concerns about the usefulness of commodity futures and options as risk management tools. Dynamic hedging strategies have the potential to improve...