Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-24
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often … energy market. This unique feature should be noted by investors and carefully considered by energy policymakers. …