Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first …

volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …

implicites dans le prix des options; les VaR sont également vérifiées et comparées. …

index options. We find reductions of over 50 percent in the root mean squared error of the PBS model when the estimation and … être utilisée pour l'estimation et l'évaluation des modèles d'évaluation d'options? Plusieurs fonctions différentes ont été … Black-Scholes du praticien (PBS) aux options de l'index S&P500. Nous trouvons des réductions de plus de 50 pourcent de la …

Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess … negative relationship between realized skewness and next week?s stock returns, and a positive relationship between realized … trading strategy that buys stocks in the lowest realized skewness decile and sells stocks in the highest realized skewness …

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the … skewness and next week?'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells … stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3 …

forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any …

than previously found using market-traded options. Finally, we find that wide-range interval and density forecasts are …