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Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fi ll this gap. We show how fear and...
Persistent link: https://www.econbiz.de/10011900219
We propose option-implied measures of conditional asymmetry based upon quantiles and expectiles inferred from weekly options. All quantities are by construction forward looking and estimated non-parametrically through a novel arbitrage-free natural smoothing spline technique that produces quick...
Persistent link: https://www.econbiz.de/10012831807
We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four different econometric techniques. Independently from the econometric approach used, all models produce quick to estimate forward-looking risk measures that do not depend from the amount...
Persistent link: https://www.econbiz.de/10012823461
Persistent link: https://www.econbiz.de/10013342040