Predicting Intraday Crude Oil Returns with Higher Order Risk-Neutral Moments

High frequency crude oil option data is used to extract the risk-neutral semi-moments from the crude oil market. These risk-neutral moments include the variance, third central moment and the recently developed tail risk variation measures. The returns of second and third semi-moments, and to a lesser extent the returns of the tail risk measures, are found to explain and predict returns in the crude oil and S&P 500 futures at high frequency

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Year of publication:	[2023]
Authors:	Wong, Patrick
Publisher:	[S.l.] : SSRN
Subject:	Kapitaleinkommen \| Capital income \| Prognoseverfahren \| Forecasting model \| Erdöl \| Petroleum \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Theorie \| Theory

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Extent:	1 Online-Ressource (46 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4019829 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014362335