A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion-Reference-Cited by-同舟云学术

A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

Published:2019-10 Issue:10 Volume:65 Page:4927-4949
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Faccini Renato¹^ORCID,Konstantinidi Eirini²^ORCID,Skiadopoulos George¹³⁴^ORCID,Sarantopoulou-Chiourea Sylvia⁵

Affiliation:

1. School of Economics and Finance, Queen Mary University of London, London E1 4NS, United Kingdom;

2. Alliance Manchester Business School, University of Manchester, Manchester M13 9PL, United Kingdom;

3. Department of Banking and Financial Management, University of Piraeus, Piraeus 18534, Greece;

4. Associate Research Fellow with Cass Business School, London EC1Y 8TZ, United Kingdom and Warwick Business School, Coventry CV4 7AL, United Kingdom;

5. Independent Authority for Public Revenue, 10184 Athens, Greece

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Reference63 articles.

1. Naiveté, Projection Bias, and Habit Formation in Gym Attendance

2. Nonparametric risk management and implied risk aversion

3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

4. Real-Time Measurement of Business Conditions

5. A Theory of Volatility Spreads

Cited by 20 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. Does Dividend Policy Lead the Economy?;Journal of Money, Credit and Banking;2024-07-17

2. Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option;International Review of Economics & Finance;2024-03

3. International evidence of the forecasting ability of option‐implied distributions;Journal of Forecasting;2024-02-19

4. Forecasting Chinese stock market volatility with option-implied risk aversion: Evidence from extended realized EGARCH-MIDAS approach;Pacific-Basin Finance Journal;2024-02

5. China's business cycle forecasting: a machine learning approach;Computational Economics;2024-01-31