portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

Ex ante (expected) average equity market correlation is linked to the differential correlation dynamics of growth and … existence of a homogeneous correlation among stocks with similar growth characteristics, depending on the prevailing … link to growth options and the value premium, implied correlation serves as a leading procyclical state variable. Value …

information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental …

method to the vanilla and the Quanto market. As Quanto products offer significant exposure to the correlation between … exchange rates and asset prices, they allow access to a market implied measure of this correlation. By means of a joint …

this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …