Variance risk in commodity markets
作者： Marcel Prokopczuk , Lazaros Symeonidis , Chardin Wese Simen
DOI: 10.1016/J.JBANKFIN.2017.05.003
关键词:
摘要: We analyze the variance risk of commodity markets. construct synthetic swaps and find significantly negative realized swap payoffs in most evidence commonalities among swaps. also document comovements between commodity, equity bond Similar results hold for expected payoffs. Furthermore, we show that both are distinct from futures returns, indicating is unspanned by futures.
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sci-hub.se 参考文章(35)
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