Short-term price density forecasts in the lean hog futures market
比较了基于期权市场数据的前瞻性技术与时间序列GARCH模型在瘦肉猪期货价格密度预测上的表现，发现前者校准更好、预测更准，且短期风险溢价可能存在于市场动荡期。
We estimate and evaluate ex-ante density forecasts of lean hog futures prices using two approaches: forward-looking techniques using options market data and time series models. Our findings indicate that risk-neutral and risk-adjusted forward-looking market techniques are better calibrated and have superior predictive accuracy than time series GARCH models based on historical data. Improvements to goodness of fit and accuracy of the forecasts obtained by the calibration from risk-neutral to real-world densities imply that short-term risk premiums may be present in the lean hog futures markets, and they most likely appear in periods of market turmoil.