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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...
Persistent link: https://www.econbiz.de/10012650140
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Predicting the equity market with option implied variables
Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017
We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....
Persistent link: https://www.econbiz.de/10011751188
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Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets
Wong, Alfred H.S. - 2011
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …
Persistent link: https://www.econbiz.de/10013121151
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An Empirical Study of Stock and American Option Prices
Ronchetti, Diego - 2011
option mid-quotes about their generating process. Considering stock return and its volatility as the risk factors and without …
Persistent link: https://www.econbiz.de/10013120974
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How integrated are credit and equity markets? : evidence from index options
Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020
In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a...
Persistent link: https://www.econbiz.de/10012271184
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
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Implied volatility surface predictability : the case of commodity markets
Kearney, Fearghal; Shang, Han Lin; Sheenan, Lisa - In: Journal of banking & finance 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012224756
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410