Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
Oil is one of the most important commodities in the global economy. We study jump tail risks in the oil market by developing a new model for depicting commodity prices. This model combines the cost of carry, stochastic volatility, and the tail factor. An application of this model shows that tail risk significantly matters in pricing dynamics of oil futures. The use of the tail factor, which is orthogonal to the variance factor, improves performance in forecasting future oil returns, particularly at the short horizon.
- © 2022 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600