Working papers, publications, and ongoing research projects.
with M.-H. Gagnon, G. J. Power
Published in The Energy Journal (2025). This study investigates speculative trading behavior in energy futures markets by examining the impact of macroeconomic surprises on trading activity and price dynamics.
with M.-H. Gagnon, G. Power
This study investigates, using high-frequency data, how financialization has changed the impact of macroeconomic announcements on commodity futures returns and volatility. We find that greater financialization dampens the impact of macroeconomic release surprises on commodity markets, as measured by price drift and volatility changes.
with M.-H. Gagnon, G. Power
We examine volatility transmission between commodity ETFs and their underlying assets using high-frequency realized variance data across multiple sampling frequencies. Analyzing crude oil, gold, silver, and natural gas ETFs with HAR-X models and Bayesian VAR, we document systematic heterogeneity in volatility spillovers.
with M.-H. Gagnon, G. J. Power
We decompose FOMC policy surprises into tone and novelty components using embedding-based textual analysis and examine their differential effects on high-frequency asset returns and volatility. Using minute-level data in a 30-minute window around announcements, we find tone primarily drives returns while novelty increases volatility.