The sum of all fears : forecasting international returns using option-implied risk measures
Year of publication: |
2023
|
---|---|
Authors: | Gagnon, Marie-Hélène ; Power, Gabriel J. ; Toupin, Dominique |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 146.2023, p. 1-22
|
Subject: | Equity markets | Foster-Hart | Generalized riskiness | Higher-order moments | International | Options | Out-of-sample | Predictive regressions | Return predictability | Risk-neutral distribution | Skewness | Variance risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomaß | Risk measure | Schätzung | Estimation | Aktienmarkt | Stock market | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
-
Forecasting international index returns using option-implied variables
Gagnon, Marie-Hélène, (2018)
-
Tail risk and expected stock returns around the world
Long, Huaigang, (2019)
-
Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang, (2018)
- More ...
-
Dynamics between crude oil and equity markets under the risk-neutral measure
Gagnon, Marie-Hélène, (2015)
-
Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène, (2022)
-
International stock market cointegration under the risk-neutral measure
Gagnon, Marie-Hélène, (2016)
- More ...