Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market
“We find negative and time-varying variance risk premiums in the corn market.”
AssetVolatility and optionsoptions
StrategyVolatility risk premium
TechniqueClassical time series
FrequencyDaily
Also stated: 1987–2009
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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