Ex-ante risk factors and required structures of the implied correlation matrix
Year of publication: |
2021
|
---|---|
Authors: | Schadner, Wolfgang |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 41.2021, p. 1-8
|
Subject: | Equity | Expected Risk | Implied Correlation | Option Implied Volatility | Risk Factors | Volatilität | Volatility | Korrelation | Correlation | Risiko | Risk | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model |
-
Option-implied information and predictability of extreme returns
Vilkovz, Grigory, (2013)
-
Forward looking up-/down correlations
Schadner, Wolfgang, (2021)
-
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène, (2023)
- More ...
-
Risk-neutral momentum and market fear
Schadner, Wolfgang, (2019)
-
Which is Worse : Heavy Tails or Volatility Clusters?
Traut, Joshua, (2023)
-
Fear and Laughing of the Market : Trending Pessimism, Fragile Optimism
Schadner, Wolfgang, (2020)
- More ...