In the first two chapters of my dissertation, I study the pricing of risk in commodities futures and bond markets. In the first chapter, I provide a new way to characterize risk in commodities futures markets. I apply my framework to the natural gas futures market and study the consequences of changes in regime on the risk premium. In the second chapter, I study risk pricing in bond yields and investigate whether regime shifts are important for our understanding of bond risk premia and the term structure. I produce novel empirical estimates to characterize risk premia and the term structure of bond yields and natural gas futures contracts. I also propose a new method for estimating Gaussian affine term structure models subject to regime switching, which solves the serious numerical difficulties encountered by other methods in the literature. The third chapter of my dissertation investigates whether forecast aggregation helps in forecasting commodity prices.