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...