Commodity return predictability: Evidence from implied variance, skewness and their risk premia
This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities’ future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the difference...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2018
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2474 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3473&context=soe_research |
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| 機構: | Singapore Management University |
| 語言: | English |