Results 261 to 270 of about 2,875,960 (305)
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Neural correlates of implied motion
Nature, 2003Current 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 +4 more
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Measuring Equity Risk with Option-implied Correlations
Review of Financial Studies, 2012The 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.
Grigory Vilkov
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Option-Implied Correlations and the Price of Correlation Risk
SSRN Electronic Journal, 2012Link 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 ...
Grigory Vilkov +2 more
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Quantitative Finance, 2019The prices of currency options expressed in terms of their implied volatilities and the implied correlations between foreign exchange rates at a given point in time depend on option delta and time to maturity. Implied volatilities and implied correlations likewise may thus be represented as a surface.
Beer, S., Fink, H.
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Implied Correlation and Market Returns
SSRN Electronic Journal, 2016This 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, 2000There 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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On the predictability of model-free implied correlation
International Journal of Forecasting, 2016Abstract 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
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Implied Correlation Index: A New Measure of Diversification
Journal of Futures Markets, 2003Most approaches in forecasting future correlations depend upon 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 +1 more
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