Explaining intraday crude oil returns with higher order risk-neutral moments

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100331

Patrick Wong

引用次数: 0

Abstract

High frequency crude oil option data is used to extract the higher order risk-neutral moments from the crude oil market. These risk-neutral moments include the variance, third central moment and the recently developed tail risk variation measures. We find it is beneficial to disaggregate these risk-neutral moments into their semi-moments, and to work with their log differences instead of the level. The log differences of the second and third semi-moments, and to a lesser extent, the log differences of the tail risk measures, are found to explain returns in the crude oil and S&P 500 futures at high frequency. We also provide evidence that the efficient market hypothesis holds at high frequency in these markets.

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解释高阶风险中性时刻的原油盘中回报

利用高频原油期权数据提取原油市场的高阶风险中性矩。这些风险中性时刻包括方差、第三中心时刻和最近发展起来的尾部风险变异度量。我们发现将这些风险中性时刻分解为它们的半时刻是有益的，并且使用它们的对数差而不是级别。第二和第三半时刻的对数差异，以及尾部风险指标的对数差异在较小程度上，被发现可以解释原油和标普500期货的高频率回报。我们还提供证据表明，有效市场假说在这些市场中高频成立。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.