Results 261 to 270 of about 119,536 (302)

Option-Implied Correlations and the Price of Correlation Risk

SSRN Electronic Journal, 2012
Link to the paper: http://dx.doi.org/10.2139/ssrn.2166829 The data contains option-implied and realized equicorrelation (IC and RC) estimates for S&P500 components from 1996 to 12/2019. We propose a direct and intuitive test by comparing option-implied correlations between stock returns (obtained by combining index option prices with prices of ...
Maenhout, Pascal, Driessen, Joost, Vilkov, Grigory   +2 more
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On the predictability of model-free implied correlation

International Journal of Forecasting, 2016
Abstract This paper investigates the existence of predictable patterns in the evolution of the implied correlation series. To this end, alternative time-series specifications are employed to model the correlation dynamics, and the statistical and economic significance of out-of sample forecasts is assessed.
Vasiliki D Skintzi
exaly   +2 more sources

Neural correlates of implied motion

Nature, 2003
Current views of the visual system assume that the primate brain analyses form and motion along largely independent pathways; they provide no insight into why form is sometimes interpreted as motion. In a series of psychophysical and electrophysiological experiments in humans and macaques, here we show that some form information is processed in the ...
Bart, Krekelberg, Sabine, Dannenberg, Klaus-Peter, Hoffmann, Frank, Bremmer, John, Ross   +4 more
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Estimating Realistic Implied Correlation Matrix from Option Prices [PDF]

Journal of Mathematical Finance, 2013
The purpose of this research is to derive a new algorithm for obtaining a realistic implied correlation matrix. One contemporary method has a limited scope from its simplified assumption of equicorrelation matrix.
Kawee Numpacharoen
exaly   +1 more source

Implied Correlation and Market Returns

SSRN Electronic Journal, 2016
This paper provides evidence that the implied correlation is an indicator of market-wide risk. From a time-series approach, we analyze whether aggregate implied correlation contains information on future market returns. We document that it explains an important fraction of the variation in aggregate market excess returns, with high implied correlation ...
Alejandro Bernales, Marcela Valenzuela
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Is Implied Correlation Worth Calculating?

The Journal of Derivatives, 2000
There is an ever greater need to forecast correlations in addition to standard deviations, both for managing risk exposure in a portfolio context such as value at risk, and for pricing derivatives whose payoffs depend on correlations among more than one random factor.
Christian A. Walter, Jose A. Lopez
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Implied Correlation Index: A New Measure of Diversification

SSRN Electronic Journal, 2003
AbstractMost approaches in forecasting future correlation depend on the use of historical information as their basic information set. Recently, there have been some attempts to use the notion of “implied” correlation as a more accurate measure of future correlation.
Vasiliki D. Skintzi, Apostolos‐Paul N. Refenes   +1 more
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Decay of correlation implies strongly mixing property

International Journal of General Systems, 2018
This paper proves that a continuous transformation of a probability measure space is mixing in the sense of statistics if and only if it exhibits strongly mixing property, which implies topological...
Yu-Qiong Lei, Min Lin, Tian-Xiu Lu
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Measuring Equity Risk with Option-Implied Correlations

SSRN Electronic Journal, 2012
The Review of Financial Studies, 25(10), October 2012, 3113–3140, https://doi.org/10.1093/rfs/hhs087 We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas.
Buss, Adrian, Vilkov, Grigory
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Implied Correlation and Expected Returns

SSRN Electronic Journal, 2012
This paper provides evidence that the implied correlation is an indicator of market-wide risk. From a time-series approach, I analyze whether aggregate implied correlation contains information on future market returns. I document that it explains an important fraction of the variation in aggregate market excess returns, with high implied correlation ...
openaire   +1 more source