Similar Search Results

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market

Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284

Persistent link: https://www.econbiz.de/10010509739

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) option implied volatility indices

Markose, Sheri M.; Yue Peng; Alentorn, Amadeo - 2012

Persistent link: https://www.econbiz.de/10009544687

The information content of implied volatility indexes for forecasting volatility and market risk

Giot, Pierre - 2003

Persistent link: https://www.econbiz.de/10001791288

Generalized extreme value distribution and extreme economic value at risk (EE-VaR)

Alentorn, Amadeo; Markose, Sheri M. - In: Computational methods in financial engineering : essays …, (pp. 47-71). 2008

Persistent link: https://www.econbiz.de/10003669439

Unconditional density vs conditional density functions in estimating value-at-risk

Chiu, Yen-Chen; Chuang, I-Yuan - In: Applied economics 53 (2021) 4, pp. 482-494

Persistent link: https://www.econbiz.de/10012416070

The tail risk surface

Ahn, Jungkyu; Ahn, Yongkil - In: Finance research letters 58 (2023) 3, pp. 1-6

Persistent link: https://www.econbiz.de/10014631255

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010249730

Forecasting Extreme Volatility of FTSE-100 with Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices

Markose, Sheri M. - 2013

Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV …) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically … underestimates volatility during extreme market conditions due to sparse data for options traded at very high or very low strike …

Persistent link: https://www.econbiz.de/10013086118

1
2
3
4
5
6
7
8
9
10
Next
Last