Martínez, Beatriz; Torró, Hipòlit - 2016
horizon is attained. In this paper, a pair-wise comparison between the conventional risk premium and the accrued risk premium … obtained. Firstly, and most importantly, the accrued risk premium in rollover strategies is significatively larger than … conventional risk premiums and increases with the time to delivery. Specifically, for strategy horizons between three and six …