|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|101644||2017||33 صفحه PDF||سفارش دهید||9412 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Energy Economics, Volume 66, August 2017, Pages 480-492
The rewards to speculative trading in the crude oil futures market are assessed. For investors who adopt timing strategies that maximise their (iso-elastic) utility during each trading session, the rewards can be economically significant providing that transaction costs are small. Moreover, we are able to show via a decomposition of performance that the bulk of this benefit is due to their ability to predict realised volatility (that is, the second realised moment). The benefits derived from predicting other realised moments either require unrealistic levels of skill (all odd moments) or an infeasible degree of risk aversion (the fourth moment and higher even moments).