Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Applied Economics Letters 22 (2015) 5, pp. 370-377
This article investigates the time series relationship between equity and crude oil markets using option-implied risk-neutral moments. We recover daily time series of constant-maturity risk-neutral volatility (RNV), skewness and kurtosis using options data for the S&P 500 and WTI oil futures...