Option‐implied risk measures: An empirical examination on the S&P 500 index-Reference-Cited by-同舟云学术

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Option‐implied risk measures: An empirical examination on the S&P 500 index

Published:2019-08-30 Issue:4 Volume:24 Page:1409-1428
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Barone‐Adesi Giovanni¹,Legnazzi Chiara¹,Sala Carlo²

Affiliation:

1. Swiss Finance Institute at Università della Svizzera Italiana (USI), Institute of Finance Via G. Buffi 13 Lugano CH‐6900 Switzerland

2. Department of Financial Management and Control, ESADE Business School Ramon LLull University Avenida de Torreblanca 59 Barcelona 08172 Spain

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1743

Reference52 articles.

1. Backtesting expected shortfall;Acerbi C.;Risk,2014

2. Nonparametric risk management and implied risk aversion

3. Existence of an Equilibrium for a Competitive Economy

4. Coherent Measures of Risk

5. Implied risk‐neutral probability density functions from options prices: Theory and application;Bahara B.;Bank of England ISSN 1368‐5562,1997

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1. Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression;Journal of Risk and Financial Management;2023-06-27

2. An empirical investigation of multiperiod tail risk forecasting models;International Review of Financial Analysis;2023-03

3. Implied value-at-risk and model-free simulation;Annals of Operations Research;2022-11-05

4. Estimating value-at-risk using quantile regression and implied volatilities;The Journal of Risk Model Validation;2022

5. Implicit quantiles and expectiles;Annals of Operations Research;2021-04-01

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