Narrow search
Showing 1 - 10 of 11,243
Cover Image
Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data
Ielpo, Florian; Sévi, Benoît - 2014
Persistent link: https://www.econbiz.de/10010432122
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Cover Image
Implied volatility sentiment : a tale of two tails
Stork, Philip; Félix, Luiz; Kräussl, Roman - 2017
. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …
Persistent link: https://www.econbiz.de/10011583312
Cover Image
Implied volatility sentiment : a tale of two tails
Felix, Luiz; Kräussl, Roman; Stork, Philip - 2017
-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …
Persistent link: https://www.econbiz.de/10011587564
Cover Image
Implied volatility sentiment : a tale of two tails
Felix, Luiz; Kräussl, Roman; Stork, Philip - 2017
Persistent link: https://www.econbiz.de/10011737840
Cover Image
Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
Cover Image
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Cover Image
Momentum profit fluctuations in seasonal conditions due to default probability
Lee, Nicholas Rueilin; Liu, Jung Fang; Lin, Yih-Bey; … - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 715-722
Persistent link: https://www.econbiz.de/10010520042
Cover Image
Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"
Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38
Persistent link: https://www.econbiz.de/10009580803
Cover Image
Equity Return Forecasting Using Risk-Neutral Option-Implied Moments
Filion, Charles-Gabriel - 2020
Using OptionMetrics implied volatility surfaces for a sample of S&P 100 constituent stocks as of April 29, 2016, with …
Persistent link: https://www.econbiz.de/10012823879