Volatility Forecasting and Time‐varying Variance Risk Premiums in Grains Commodity Markets
研究了小麦、玉米和大豆衍生品市场中无模型期权隐含方差和偏度的预测能力，发现隐含方差优于历史方差，且隐含偏度和方差风险溢价能显著提升波动率与收益预测。
Abstract In this paper we examine empirically the predictive power of model‐free option‐implied variance and skewness in wheat, maize and soybeans derivative markets. We find that option‐implied risk‐neutral variance outperforms historical variance as a predictor of future realised variance for these three commodities. In addition, we find that risk‐neutral option‐implied skewness significantly improves variance forecasting when added in the information variable set. Variance risk premia add significant predictive power when included as an additional factor for predicting future commodity returns.