Option-implied preferences adjustments, density forecasts, and the equity risk premium

Author:

Alonso Francisco,Blanco Roberto,Rubio Gonzalo

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance

Reference27 articles.

1. Aït-Sahalia Y, Lo A (2000) Nonparametric risk management and implied risk aversion. J Econom 94: 9–51

2. Aït-Sahalia Y, Wang Y, Yared F (2001) Do option markets correctly price the probabilities of movement of the underlying asset?. J Econom 102: 67–110

3. Alonso F, Blanco R, Rubio G (2005) Testing the forecasting performance of IBEX 35 option-implied risk-neutral densities, Documentos de Trabajo no. 0505, Banco de España

4. Anagnou I, Bedendo M, Hodges S, Tompkins R (2005) Forecasting accuracy of implied and GARCH-based probability density functions. Rev Futures Mark 11: 41–66

5. Berkowitz J (2001) Testing density forecasts with applications to risk management. J Bus Econ Stat 19: 465–474

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