讲座报告:徐雅华博士学术讲座通知
时间:2017-7-14 16:51:43   阅读: 916  
主题  徐雅华博士学术讲座通知
活动时间  2017年7月24日 14:0 - 2017年7月24日 15:0
活动地点  哈工大科学园2H408
活动博客  
活动标签  管理学院,学术讲座
讲座题目: Higher Moment Risk Premiums for the Crude Oil Market: A
Downside and Upside Conditional Decomposition
讲座摘要:
Relying on options written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil, we extract variance and skew risk premiums in a model-free way. We further decompose these risk premiums into downside and upside conditional components and show that they are time varying; that they can be partially explained by USO excess returns and, more importantly, these decomposed risk premiums enable a much better prediction of USO excess returns than the standard, or undecomposed, variance and skew risk premiums.
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发布者:徐建慧 | 来源:管理学院