Papers & Reviews

  • 11 December 2017
Taxonomy of global risk, uncertainty, and volatility measures

Keywords: risk, uncertainty, volatility, monetary policy, geopolitical risk, equities, interest rates, exchange rates, commodities, inflation, variance risk premium.

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  • 11 Abril 2017
Volatility risk premia and future commodities returns

Analyze the predictive ability of Commodities Currencies VRP and commodities VRP.

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  • 10 Abril 2017
Commodity price risk management and fiscal policy in a sovereign default model

Analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues.

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