The information content of the term structure of risk-neutral skewness
Paul Borochin, Hao Chang, Yangru Wu
| Year of publication: |
2020
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|---|---|
| Authors: | Borochin, Paul ; Chang, Hao ; Wu, Yangru |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 58.2020, p. 247-274
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| Subject: | Hedging demand | Informed trading | Return predictability | Risk-neutral skewness | Skewness preference | Term structure | Zinsstruktur | Yield curve | Informationswert | Information value | Hedging | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2020.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430679