Bozic, Marin; Fortenbery, T. Randall - 2011
the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation … is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for … skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that …