TY  - JA
AU  - Triantafyllou,A.
AU  - Dotsis,G.
AU  - Sarris,A.H.
TI  - Volatility forecasting and time‐varying variance risk premiums in grains commodity markets
SN  - 1477-9552
PY  - 2015///
CY  - USA
PB  - Wiley
KW  - AGROVOC
KW  - Agricultural products
KW  - Maize
KW  - Prices
KW  - Risk
KW  - Soybeans
KW  - Wheat
N1  - Peer review
N2  - In this paper we examine empirically the predictive power of model‐free option‐implied variance and skewness in wheat, maize and soybeans derivative markets. We find that option‐implied risk‐neutral variance outperforms historical variance as a predictor of future realised variance for these three commodities. In addition, we find that risk‐neutral option‐implied skewness significantly improves variance forecasting when added in the information variable set. Variance risk premia add significant predictive power when included as an additional factor for predicting future commodity returns
T2  - Journal of Agricultural Economics
DO  - https://doi.org/10.1111/1477-9552.12101
ER  -