Variance risk in commodity markets
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DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords