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De Lima, Ronaldo F.; Meeks, William, III Maximum principles at infinity for surfaces of bounded mean curvature in ${\Bbb R}^3$ and ${\Bbb H}^3$.
Indiana Univ. Math. J.
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American Mathematical Society
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Providence, RIAn examination of the flow characteristics of crude oil: Evidence from risk-neutral moments - ScienceDirect
Export JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page., February 2016, Pages 213-223Author links open overlay panelShow moreHighlightsoExamines the information content of risk-neutral moments to explain crude oil futures returns with implied volatility and higher moments extracted from observed crude oil option prices.oFind a tenuous and time-varying association between returns and implied volatility and its innovations.oChanges in implied volatility are found to be meaningfully associated with crude returns over the period spanning the recent financial crisis.oResults are consistent with prior evidence that crude oil prices are determined primarily in a flow demand/supply environment.oDocument that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.AbstractThis paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and time-varying association between returns and implied volatility and its innovations. Specifically, changes in implied volatility are found to be meaningfully associated with crude returns only over the period spanning the recent financial crisis. The results lead us to conclude that crude oil prices are determined primarily in a flow demand/supply environment. Finally, we document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.KeywordsRisk-neutral momentsCrude oil futuresReturnsVolatilityJEL classificationG13G14Check if you have access through your login credentials or your institution.ororRecommended articlesCiting articles (0)