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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人事与师资办公室
2017年7月14日
小调查