Martin Nielsen

1David Lando
1Michel Crouhy
1Peter Feldhütter
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This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However, it is difficult to explain the level and variation in energy variance(More)
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