Commodity Variance Risk Premia and Expected Futures Returns : Evidence from the Crude Oil Market
Year of publication: |
2015
|
---|---|
Authors: | Kang, Sang Baum |
Other Persons: | Pan, Xuhui (Nick) (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Risikoprämie | Risk premium | Ölmarkt | Oil market | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Kapitaleinkommen | Capital income | Warenbörse | Commodity exchange | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Ölpreis | Oil price |
Extent: | 1 Online-Ressource (58 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2296932 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Nonlinear Intermediary Pricing in the Oil Futures Market
Bierbaumer, Daniel, (2018)
-
Bu, Hui, (2022)
-
Bu, Hui, (2021)
- More ...
-
Pan, Xuhui (Nick), (2019)
-
The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads
Elkamhi, Redouane, (2011)
-
What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce
Lesmond, David A., (2017)
- More ...