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Refining Crude Oil Uncertainty Using Corridor Variance Risk Premia

https://doi.org/10.2139/ssrn.4666308
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THE ROLE OF TIME‐VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHANGES IN THE CRUDE OIL MARKET
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Measuring Uncertainty
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Computing the market price of volatility risk in the energy commodity markets
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Credit default swap spreads and variance risk premia
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The importance of the volatility risk premium for volatility forecasting
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The information content of option-implied information for volatility forecasting with investor sentiment
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Retail clientele and option returns
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Variance risk in commodity markets
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Dynamic corporate risk management: Motivations and real implications
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Speculation, risk aversion, and risk premiums in the crude oil market
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Option Returns, Risk Premiums, and Demand Pressure in Energy Markets
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Realized volatility forecasting and market microstructure noise
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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The VIX, the variance premium and stock market volatility
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Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
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‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
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Limits to arbitrage and hedging: Evidence from commodity markets
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Betting against beta
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Good and bad uncertainty: Macroeconomic and financial market implications
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.015openalex-extracted
Volatility risk premia and exchange rate predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2017.02.002openalex-extracted
Variance risk premiums and the forward premium puzzle
inferredcites →https://doi.org/10.1016/j.jfineco.2017.08.002openalex-extracted
Intermediary asset pricing: New evidence from many asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2021.08.016openalex-extracted
Oil volatility risk
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Speculators, commodities and cross-market linkages
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How sensitive are consumer expenditures to retail energy prices?
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Macroeconomic determinants of stock volatility and volatility premiums
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This is what happened to the oil price-macroeconomy relationship
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What is an Oil Shock?
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Towards a Theory of Volatility Trading
inferredcites →https://doi.org/10.1017/s0022109014000453openalex-extracted
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
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Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
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Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results
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A General Distribution for Describing Security Price Returns
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Liquidity Risk and Expected Stock Returns
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Measuring Downside Risk – Realized Semivariance*
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Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
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A Simple Approximate Long-Memory Model of Realized Volatility
inferredcites →https://doi.org/10.1093/jjfinec/nbx020openalex-extracted
Downside Variance Risk Premium*
inferredcites →https://doi.org/10.1093/rfs/hhab011openalex-extracted
The State Price Density Implied by Crude Oil Futures and Option Prices
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The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
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Variance Risk Premiums
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Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-extracted
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhq085openalex-extracted
What's Vol Got to Do with It
inferredcites →https://doi.org/10.1093/rfs/hhv033openalex-extracted
Exploring Return Dynamics via Corridor Implied Volatility
inferredcites →https://doi.org/10.1093/rof/rfu043openalex-extracted
Convective Risk Flows in Commodity Futures Markets
inferredcites →https://doi.org/10.1093/rof/rfw071openalex-extracted
Oil Prices and the Stock Market
inferredcites →https://doi.org/10.1111/0022-1082.00228openalex-extracted
Option Prices, Implied Price Processes, and Stochastic Volatility
inferredcites →https://doi.org/10.1111/0022-1082.00347openalex-extracted
Consumption, Aggregate Wealth, and Expected Stock Returns
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MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
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THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
inferredcites →https://doi.org/10.1111/j.1538-4616.2010.00323.xopenalex-extracted
Oil Price Uncertainty
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02569.xopenalex-extracted
Efficient Analytic Approximation of American Option Values
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00647.xopenalex-extracted
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
inferredcites →https://doi.org/10.1111/jmcb.12135openalex-extracted
The Effects of Oil Price Uncertainty on Global Real Economic Activity
inferredcites →https://doi.org/10.1111/jmcb.12779openalex-extracted
Economic Uncertainty and Bank Lending
inferredcites →https://doi.org/10.1111/jofi.12189openalex-extracted
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12222openalex-extracted
Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets
inferredcites →https://doi.org/10.1111/jofi.12408openalex-extracted
A Model of Financialization of Commodities
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A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
inferredcites →https://doi.org/10.1111/jofi.13377openalex-extracted
Business News and Business Cycles
inferredcites →https://doi.org/10.1162/rest_a_00300openalex-extracted
Stock Market Volatility and Macroeconomic Fundamentals
inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted
Testing Density Forecasts, With Applications to Risk Management
inferredcites →https://doi.org/10.1198/jbes.2009.07205openalex-extracted
Real-Time Measurement of Business Conditions
inferredcites →https://doi.org/10.1257/aer.103.2.732openalex-extracted
Intermediary Asset Pricing
inferredcites →https://doi.org/10.1257/aer.104.6.1698openalex-extracted
The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
inferredcites →https://doi.org/10.1257/aer.20151569openalex-extracted
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
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Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
inferredcites →https://doi.org/10.1257/mac.20190171openalex-extracted
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
inferredcites →https://doi.org/10.1257/mac.5.4.1openalex-extracted
Time-Varying Effects of Oil Supply Shocks on the US Economy
inferredcites →https://doi.org/10.1287/mnsc.2017.2890openalex-extracted
Good and Bad Variance Premia and Expected Returns
inferredcites →https://doi.org/10.17016/ifdp.2019.1247openalex-extracted
Variance Risk Premium Components and International Stock Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.1150136openalex-extracted
Construction and Interpretation of Model-Free Implied Volatility
inferredcites →https://doi.org/10.2139/ssrn.2160837openalex-extracted
Risk, Uncertainty and Monetary Policy
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The Global Determinants of International Equity Risk Premiums
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Irreversibility, Uncertainty, and Cyclical Investment
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Evaluating Density Forecasts with Applications to Financial Risk Management
inferredcites →https://doi.org/10.3386/w13449openalex-extracted
Construction and Interpretation of Model-Free Implied Volatility
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Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
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Irreversibility, Uncertainty, and Investment
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Variance Risk Premia in Energy Commodities
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The Impact of Uncertainty Shocks
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How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
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