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Price discovery in crude oil futures
Author(s):Elder, John; Miao, Hong; Ramchander, Sanjay
This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second ...
Examination of the flow characteristics of crude oil: evidence from risk-neutral moments, An
Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, Tianyang
This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied ...