What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?
In this study, we investigate the ability of three higher-order risk-neutral return cumulants to predict short maturity (weekly) dragon ball lg disney returns of oil futures.Our data includes weekly West Texas Crude Oil futures options that expire in 7 days (7DTE).Using a model-free approach, we estimate these risk-neutral return cumulants at the b