05
Aug
2016
10:00
- 12:00
IWH Research Seminar
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Who
Lutz Kilian, PhD
(University of Michigan)
Where
IWH conference room
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.