Variance Risk Premia in Commodity Markets
نویسندگان
چکیده
منابع مشابه
Determinants of Hedging and Risk Premia in Commodity Futures Markets
This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2195691