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Do Variance Risk Premia Predict Commodity Futures Returns? Evidence from the Crude Oil Market
SSRN Electronic Journal
◽
10.2139/ssrn.1844710
◽
2011
◽
Author(s):
Xuhui (Nick) Pan
◽
Sang Baum Kang
Keyword(s):
Crude Oil
◽
Risk Premia
◽
Commodity Futures
◽
Oil Market
◽
Variance Risk
Download Full-text
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References
Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market
SSRN Electronic Journal
◽
10.2139/ssrn.2296932
◽
2013
◽
Cited By ~ 1
Author(s):
Sang Baum Kang
◽
Xuhui (Nick) Pan
Keyword(s):
Crude Oil
◽
Risk Premia
◽
Oil Market
◽
Variance Risk
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Risk factors and their associated risk premia: An empirical analysis of the crude oil market
Journal of Banking & Finance
◽
10.1016/j.jbankfin.2017.10.007
◽
2018
◽
Vol 95
◽
pp. 44-63
◽
Cited By ~ 2
Author(s):
Martin Hain
◽
Marliese Uhrig-Homburg
◽
Nils Unger
Keyword(s):
Risk Factors
◽
Crude Oil
◽
Empirical Analysis
◽
Risk Premia
◽
Oil Market
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
Annals of Operations Research
◽
10.1007/s10479-021-04198-7
◽
2021
◽
Author(s):
Jilong Chen
◽
Christian Ewald
◽
Ruolan Ouyang
◽
Sjur Westgaard
◽
Xiaoxia Xiao
Keyword(s):
Crude Oil
◽
Stochastic Volatility
◽
Factor Model
◽
Risk Premia
◽
Commodity Futures
◽
Three Factor
Download Full-text
Contango in Cushing? - Evidence on Financial-Physical Interactions in the U.S. Crude Oil Market
SSRN Electronic Journal
◽
10.2139/ssrn.2022678
◽
2012
◽
Cited By ~ 1
Author(s):
Louis H. Ederington
◽
Chitru S. Fernando
◽
Kateryna V. Holland
◽
Thomas K. Lee
Keyword(s):
Crude Oil
◽
Oil Market
◽
Physical Interactions
◽
The U.S
Download Full-text
Up- and Downside Variance Risk Premia in Global Equity Markets
SSRN Electronic Journal
◽
10.2139/ssrn.2511162
◽
2014
◽
Author(s):
Matthias Held
◽
Marcel Omachel
Keyword(s):
Equity Markets
◽
Risk Premia
◽
Global Equity Markets
◽
Variance Risk
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Firm Characteristics and Common Factors in the Variance Risk Premia
SSRN Electronic Journal
◽
10.2139/ssrn.2649998
◽
2015
◽
Author(s):
Lei Lian
Keyword(s):
Common Factors
◽
Risk Premia
◽
Firm Characteristics
◽
Variance Risk
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The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices
SSRN Electronic Journal
◽
10.2139/ssrn.3122009
◽
2018
◽
Author(s):
Joe W. Byers
◽
Ivilina Popova
◽
Betty J. Simkins
Keyword(s):
Natural Gas
◽
Crude Oil
◽
Risk Measures
◽
Commodity Futures
◽
Futures Prices
◽
Conditional Risk
◽
Oil And Natural Gas
◽
Conditional Risk Measures
◽
The Impact
Download Full-text
Up- and Downside Variance Risk Premia in Global Equity Markets
SSRN Electronic Journal
◽
10.2139/ssrn.3189480
◽
2018
◽
Cited By ~ 4
Author(s):
Matthias Held
◽
Julia Kapraun
◽
Marcel Omachel
◽
Julian Thimme
Keyword(s):
Equity Markets
◽
Risk Premia
◽
Global Equity Markets
◽
Variance Risk
Download Full-text
Monetary Policy Shocks and Variance Risk Premia
SSRN Electronic Journal
◽
10.2139/ssrn.3300244
◽
2018
◽
Author(s):
Asad Dossani
Keyword(s):
Monetary Policy
◽
Risk Premia
◽
Monetary Policy Shocks
◽
Policy Shocks
◽
Variance Risk
Download Full-text
Intraday Momentum and Return Predictability: Evidence from the Crude Oil Market
SSRN Electronic Journal
◽
10.2139/ssrn.3553682
◽
2020
◽
Author(s):
Zhuzhu Wen
◽
Gong Xu
◽
Diandian Ma
◽
Yahua Xu
Keyword(s):
Crude Oil
◽
Return Predictability
◽
Oil Market
Download Full-text
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