We study the relation between option-implied skewness (IS) and the cross-section of option returns under daily hedging to better understand the pricing of skewness in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and delta-vega-hedged (DV-hedged) options with daily...

We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure the economic significance of these predictions in...

We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...