DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk Joon | ko |
dc.contributor.author | Kim, Jun Sik | ko |
dc.date.accessioned | 2019-04-15T14:52:56Z | - |
dc.date.available | 2019-04-15T14:52:56Z | - |
dc.date.created | 2013-10-07 | - |
dc.date.issued | 2013-09 | - |
dc.identifier.citation | JOURNAL OF EMPIRICAL FINANCE, v.23, pp.142 - 161 | - |
dc.identifier.issn | 0927-5398 | - |
dc.identifier.uri | http://hdl.handle.net/10203/254497 | - |
dc.description.abstract | The paper investigates whether risk-neutral skewness has incremental explanatory power for future volatility in the S&P 500 index. While most of previous studies have investigated the usefulness of historical volatility and implied volatility for volatility forecasting, we study the information content of risk-neutral skewness in volatility forecasting model. In particular, we concentrate on Heterogeneous Autoregressive model of Realized Volatility and Implied Volatility (HAR-RV-IV). We find that risk-neutral skewness contains additional information for future volatility, relative to past realized volatilities and implied volatility. Out-of-sample analyses confirm that risk-neutral skewness improves significantly the accuracy of volatility forecasts for future volatility. (C) 2013 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | IMPLIED VOLATILITY | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | LONG-MEMORY | - |
dc.subject | STOCK | - |
dc.subject | RETURNS | - |
dc.subject | MODEL | - |
dc.subject | HETEROSKEDASTICITY | - |
dc.subject | DEVIATIONS | - |
dc.subject | COMPONENTS | - |
dc.subject | EXCHANGE | - |
dc.title | The information content of risk-neutral skewness for volatility forecasting | - |
dc.type | Article | - |
dc.identifier.wosid | 000324083600009 | - |
dc.identifier.scopusid | 2-s2.0-84880087998 | - |
dc.type.rims | ART | - |
dc.citation.volume | 23 | - |
dc.citation.beginningpage | 142 | - |
dc.citation.endingpage | 161 | - |
dc.citation.publicationname | JOURNAL OF EMPIRICAL FINANCE | - |
dc.identifier.doi | 10.1016/j.jempfin.2013.05.006 | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.nonIdAuthor | Kim, Jun Sik | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Volatility forecast | - |
dc.subject.keywordAuthor | Realized volatility | - |
dc.subject.keywordAuthor | Risk-neutral skewness | - |
dc.subject.keywordPlus | IMPLIED VOLATILITY | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | LONG-MEMORY | - |
dc.subject.keywordPlus | STOCK | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordPlus | HETEROSKEDASTICITY | - |
dc.subject.keywordPlus | DEVIATIONS | - |
dc.subject.keywordPlus | COMPONENTS | - |
dc.subject.keywordPlus | EXCHANGE | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.