Volatility-of-volatility risk in the crude oil market
JOURNAL OF FUTURES MARKETS(2021)
摘要
This paper examines the role of oil volatility-of-volatility (VOV) risk under a stochastic VOV framework. We show that oil VOV is a significant pricing factor in the cross-sectional delta-hedged gains constructed from oil options, and oil VOV also has predictive power for near-term delta-hedged option gains. Moreover, we show that the information contained in oil VOV is highly specific compared to its equity counterpart and other volatility-related measures, from the perspective of its predictability of future economic conditions. Our findings are robust to alternative VOV risk measures and forecasting horizons.
更多查看译文
关键词
crude oil market,delta-hedged gains,jump risk,pricing implications,stochastic volatility-of-volatility risk
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要