Essays on commodity prices modelling and informational efficiency.

Summary Commodities play an essential role in our economies, and futures markets play a central role in determining their prices. The purpose of this thesis is to contribute to our understanding of the behavior of commodity prices, and to produce forecasts based on recent econometric methods. For forecasting, we focus on two different topics for three commodities (oil, wheat, and gold): forecasting prices at a monthly horizon from a large database, and forecasting volatility at a daily horizon using a recent variable selection procedure for conditional volatility. For the explanation, we focus on informational efficiency and information discovery in two different settings: predictive regressions using data on different theories, and an analysis of the effect of changes in open positions of different groups of traders on volatility.