The Variance Risk Premium in Crude Oil Futures Markets: Incorporating the OVX Time Series in a Stochastic Volatility Model
Le Grand and Schneider (2022) study the volatility risk premium in commodities using a state-space model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Incorporating regime information improves the performance of CAPM regressions.”
AssetCommoditiesfutures
StrategyVolatility risk premiumlow-volatility anomaly
TechniqueState-space modelmathematical derivation
InputsMacrooptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
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