We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1 to 66 days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the importance of these decompositions in predictive regressions using a number of specifications. Nevert...

Derivatives are innovative financial instruments in the 21st century to help market participants mitigating risk. Commodity derivatives not new world, but reentered with face into fray. In India, introduced at first on index and followed by securities commodities phase wise for betterment of markets price discovery. The present study explores association trend between Spot Futures Market India ...

This paper, using a six-region dynamic stochastic general equilibrium model of the world economy, assesses the output and current account implications of permanent oil supply shocks hitting the world economy. For modest-sized shocks and conventional production technologies, the effects are modest. But for larger shocks, for elasticities of substitution that decline as oil usage is reduced to a ...