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Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

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

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

Essays in derivatives markets

Mörke, Mathis - 2023

Persistent link: https://www.econbiz.de/10014282085

Too good to be true? : an analysis of the options market's reactions to earnings releases

Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848

Persistent link: https://www.econbiz.de/10011627641

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

Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market

Yen, Yu-min - In: International review of economics & finance : IREF 62 (2019), pp. 240-266

Persistent link: https://www.econbiz.de/10012205548

Retrieving risk neutral moments and expected quadratic variation from option prices

Rompolis, Leonidas S.; Tzavalis, Elias - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 955-1002

Persistent link: https://www.econbiz.de/10011796976

Option-implied objective measures of market risk

Leiss, Matthias; Nax, Heinrich H. - In: Journal of banking & finance 88 (2018), pp. 225-240

Persistent link: https://www.econbiz.de/10011962908

The pricing of idiosyncratic risk : evidence from the implied volatility distribution

Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009553644

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