Quarterly Publication
The effect of crude oil futures price on risk premium volatilities in the futures market

Mirhossein Mousavi; Mohammad Mazraati

Volume 1, Issue 1 , November 2017, , Pages 3-8

Abstract
  This paper explores the impact of crude oil futures prices on risk premium volatilities in the NYMEX futures market. For this purpose, the ARCH and GARCH methods are used to model risk premium volatilities and explore how crude oil futures prices influence the risk premium volatilities in futures contract ...  Read More