Li, Wei-Xuan; Chen, Clara Chia-Sheng; French, Joseph J. - In: The Quarterly Review of Economics and Finance 55 (2015) C, pp. 87-99
This research develops an early warning system (EWS) for equity market crises based on multinomial logit models and variables relating to the information content of index futures and option markets. We show that the information impounded in S&P 500 futures and options is useful as leading...