Option-implied information and predictability of extreme returns
Year of publication: |
2013
|
---|---|
Authors: | Vilkovz, Grigory ; Xiaox, Yan |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe |
Subject: | extreme value theory | tail measure | implied correlation | variance risk premium | option-implied distribution | predictability | portfolio optimization |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.2209654 [DOI] 775654000 [GVK] hdl:10419/88713 [Handle] RePEc:zbw:safewp:5 [RePEc] |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: |
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory, (2013)
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Option-implied information and predictability of extreme returns
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