international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP … options and buying their corresponding index options commands a positive risk premium. Both empirical findings are … economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are …

commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 … persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to …

Risk Premium and Skew Risk Premium for oil market. After estimation, the contribution of the paper is twofold. First, we … try to figure out which variables can describe the variation in variance and skew risk premium and the risk …-hedged and delta-vega hedged option portfolios and also oil futures return. The results show that variance risk premium is a …

We show that the innovation in the risk-neutral probability of large downward and upward jumps in oil prices has a … addition, we observe that the upside jump risk probability is a significant predictor of stock market index return and the … market fundamentals including inventory growth, demand growth, and OPEC's production growth. Upside jump risk is also a …

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that … the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …