Higher moment risk premiums for the crude oil market : a downside and upside conditional decomposition
Year of publication: |
September 2017
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Authors: | Fonseca, José da ; Xu, Yahua |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 410-422
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Subject: | Crude oil market | Variance risk premium | Skew risk premium | Conditional risk premiums | Forecasting | Risikoprämie | Risk premium | Ölmarkt | Oil market | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | CAPM | ARCH-Modell | ARCH model | Welt | World | Ölpreis | Oil price |
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