Commodity return predictability : evidence from implied variance, skewness, and their risk premia
Marinela Adriana Finta, José Renato Haas Ornelas
| Year of publication: |
2022
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|---|---|
| Authors: | Finta, Marinela Adriana ; Ornelas, José Renato Haas |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 79.2022, p. 1-21
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| Subject: | Commodity Forecast | Implied Skewness | Implied Volatility | Risk Premium | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading | Schätzung | Estimation | Theorie | Theory | Kapitalmarktrendite | Capital market returns | Prognose | Forecast | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101569 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013358775