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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.

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