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Implied Correlation from VaR [PDF]
SSRN Electronic Journal, 2007 Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events in the left tails (crashes) than in
Cotter, John, Longin, François
core +8 more sources
Implied basket correlation dynamics [PDF]
Statistics and Risk Modeling, 2016 Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”.
Wolfgang Karl Härdle
exaly +7 more sources
Valuing bets and hedges: Implications for the construct of risk preference [PDF]
Judgment and Decision Making, 2018 Risk attitudes implied by valuations of risk-increasing assets depart markedly from those implied by valuations of risk-reducing assets. For instance, many are unwilling to pay the expected value for a risky asset or for its perfect hedge.
Shane Frederick +3 more
doaj +2 more sources
A framework for robust measurement of implied correlation [PDF]
Journal of Computational and Applied Mathematics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniël Linders, Wim Schoutens
openaire +4 more sources
Estimating Forward-Looking Stock Correlations from Risk Factors
Mathematics, 2022 This study provides fully mathematically and economically feasible solutions to estimating implied correlation matrices in equity markets. Factor analysis is combined with option data to receive ex ante beliefs for cross-sectional correlations. Necessary
Wolfgang Schadner, Joshua Traut
doaj +1 more source
A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
doaj +1 more source
Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]
ACRN Journal of Finance and Risk Perspectives, 2021 In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer +2 more
doaj +1 more source
PLoS ONE, 2021 We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices ...
Nicolás Magner +3 more
doaj +1 more source
Quantum correlations which imply causation [PDF]
Scientific Reports, 2015 AbstractIn ordinary, non-relativistic, quantum physics, time enters only as a parameter and not as an observable: a state of a physical system is specified at a given time and then evolved according to the prescribed dynamics. While the state can and usually does, extend across all space, it is only defined at one instant of time.
Fitzsimons, J.F, Jones, J.A, Vedral, V
openaire +4 more sources
When Correlation Implies Causation in Multisensory Integration [PDF]
Current Biology, 2012 Inferring which signals have a common underlying cause, and hence should be integrated, represents a primary challenge for a perceptual system dealing with multiple sensory inputs [1-3]. This challenge is often referred to as the correspondence problem or causal inference.
Parise, Cesare +2 more
openaire +4 more sources