Commodity tail risks
研究了商品市场中期权隐含的左右尾部风险，发现两者都很大，且受商品自身因素影响，与股票市场和宏观经济因素相关，但不受方差风险溢价影响，尾部风险在商品期货收益横截面中被定价。
Abstract In this study, we investigate the cross‐section of option‐implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity‐specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross‐section of commodity futures returns.