金工论坛第七讲

金工论坛第七讲

报告题目（Title）: Bad Volatility is not always Bad: Evidence from Commodity Markets

时间：2018年12月19日周三，12:20-13:20

地点：对外经济贸易大学博学楼925

主讲人（Speaker）：徐雅华

个人介绍Biography：

徐雅华博士毕业于新西兰奥克兰理工大学，金融学博士。主要研究领域为： 资产定价（实证），期权市场及其他衍生品，能源经济，风险管理，量化分析等。其论文发表于期刊Energy Economics, Journal of Futures Markets。

摘要（Abstract）：

Using four commodity exchange-traded fund (ETF) options data sets, we systematically examine the return predictability of the variance risk premiums in commodity markets. We also analyze the predictability of upside and downside variance risk premiums by performing a conditional decomposition based on the direction in which the market moves. We find that both the total and decomposed variance risk premiums contain predicative information about commodity prices, and the decomposed variance risk premiums jointly outperform the uncomposed premium. The importance of the downside (upside) variance risk premium differs across markets; in energy commodity markets, both upside and downside variance risk premiums have significant predictive power; in precious metal commodity markets, only the upside variance risk premium is predicative.