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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Forward looking up-/down correlations

Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495

Persistent link: https://www.econbiz.de/10012592490

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Investigating the drivers of international comovement in real financial asset returns

McKinnon, Kate - 2019

Persistent link: https://www.econbiz.de/10012224630

Option-Implied Correlations, Factor Models, and Market Risk

Buss, Adrian - 2017

Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive … ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter … ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk …

Persistent link: https://www.econbiz.de/10012964588

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …

Persistent link: https://www.econbiz.de/10012421289