Analysing implied volatility smirk to predict the US stock market crash during the global financial crisis
Author:
Publisher
Elsevier BV
Subject
General Economics, Econometrics and Finance,Sociology and Political Science,Development
Reference23 articles.
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3. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns;Blair;J. Econ.,2001
4. The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well;Christoffersen;Manag. Sci.,2009
5. Forecasting with option implied information;Christoffersen;SSRN Electron. J.,2011
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis;International Journal of Financial Studies;2024-07-10
2. Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach;Journal of Open Innovation: Technology, Market, and Complexity;2024-06
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