{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,12]],"date-time":"2026-10-12T13:45:50Z","timestamp":1791812750579,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":31,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper investigates the short-horizon dynamics of the crude oil forward premium using one-minute high-frequency futures data from 2006 to 2025. Building on the dynamic relationship developed in the paper between changes in the forward premium and observable futures holding-period returns, we analyze how liquidity and volatility influence the adjustment of the forward premium over intraday horizons. Market liquidity is proxied by trading volume, while market risk is measured using realized volatility together with its continuous and jump components obtained from bipower variation. To capture potential nonlinearities, we combine ordinary least squares estimation with quantile regression and intraday hour-by-hour analysis. Our results show that the adjustment of the forward premium is fundamentally state dependent. Conventional conditional mean regressions exhibit only limited explanatory power, whereas liquidity and volatility become highly informative during periods of market stress. We further show that the effect of liquidity varies systematically across the conditional distribution, indicating that its influence on the adjustment of the forward premium is inherently nonlinear. Decomposing realized volatility reveals that jump risk exerts a substantially stronger influence than continuous volatility during extreme market conditions. Moreover, the explanatory power of the models varies considerably throughout the trading day, highlighting the importance of market microstructure and information arrival in shaping short-horizon forward-premium dynamics. These findings provide new evidence on the mechanisms governing the intraday adjustment of the crude oil forward premium and demonstrate the importance of accounting for nonlinearities, market liquidity, and different sources of volatility when modeling commodity futures markets.<\/jats:p>","DOI":"10.2139\/ssrn.7225178","type":"posted-content","created":{"date-parts":[[2026,8,10]],"date-time":"2026-08-10T11:44:19Z","timestamp":1786362259000},"source":"Crossref","is-referenced-by-count":0,"title":["High-frequency Dynamics of Crude Oil Futures Forward Premia: The Roles of Intraday Liquidity and Volatility"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3288-0164","authenticated-orcid":true,"given":"Christian 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