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Examination on the Flow Characteristic of Crude Oil : Evidence from the Risk-Neutral Moments
Chatrath, Arjun - 2018
This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and...
Persistent link: https://www.econbiz.de/10012937485
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Crude oil moments and PNG stock returns
Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 44 (2014) C, pp. 222-235
relationships with crude skewness and kurtosis. Large cap stocks and those with a history of hedging exhibit negative loadings on … weak pricing of crude skewness, but find no evidence for the pricing of the implied higher moments of market returns. …
Persistent link: https://www.econbiz.de/10011100098