Matches in SemOpenAlex for { <https://semopenalex.org/work/W2948008988> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2948008988 abstract "Ross (2015) shows that options data can reveal the market’s true expectations. Adapting this approach to index options (S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed locally or globally, yielding new insights to understand international dynamics in risk expectations and preferences. We find evidence of significantly improved realized volatility forecasts. Models using Ross-recovered value-weighted global measures of risk preferences have the best forecasting performances across indices. Risk preferences are best measured globally. Overall, the findings suggest that the Recovery Theorem is useful empirically and accurately recovers the true expected returns distribution and its associated pricing kernel." @default.
- W2948008988 created "2019-06-07" @default.
- W2948008988 creator A5063070312 @default.
- W2948008988 creator A5076293396 @default.
- W2948008988 creator A5081498062 @default.
- W2948008988 date "2018-01-01" @default.
- W2948008988 modified "2023-09-27" @default.
- W2948008988 title "Forecasting Market Index Volatility Using Ross-Recovered Distributions" @default.
- W2948008988 cites W1542031753 @default.
- W2948008988 cites W1575109900 @default.
- W2948008988 cites W1594842258 @default.
- W2948008988 cites W1605378157 @default.
- W2948008988 cites W1986099558 @default.
- W2948008988 cites W2002014776 @default.
- W2948008988 cites W2016012896 @default.
- W2948008988 cites W2035293670 @default.
- W2948008988 cites W2065170788 @default.
- W2948008988 cites W2101266017 @default.
- W2948008988 cites W2101620928 @default.
- W2948008988 cites W2106154424 @default.
- W2948008988 cites W2122686112 @default.
- W2948008988 cites W2141185104 @default.
- W2948008988 cites W2554191686 @default.
- W2948008988 cites W2610361943 @default.
- W2948008988 cites W3022492005 @default.
- W2948008988 cites W3121187998 @default.
- W2948008988 cites W3121240017 @default.
- W2948008988 cites W3122520507 @default.
- W2948008988 cites W3122771045 @default.
- W2948008988 cites W3123118133 @default.
- W2948008988 cites W3123127194 @default.
- W2948008988 cites W3123653015 @default.
- W2948008988 cites W3123979895 @default.
- W2948008988 cites W3124960685 @default.
- W2948008988 cites W3124965720 @default.
- W2948008988 cites W3125066934 @default.
- W2948008988 cites W3125210204 @default.
- W2948008988 cites W3126009762 @default.
- W2948008988 cites W4255104733 @default.
- W2948008988 doi "https://doi.org/10.2139/ssrn.3259654" @default.
- W2948008988 hasPublicationYear "2018" @default.
- W2948008988 type Work @default.
- W2948008988 sameAs 2948008988 @default.
- W2948008988 citedByCount "1" @default.
- W2948008988 countsByYear W29480089882018 @default.
- W2948008988 crossrefType "journal-article" @default.
- W2948008988 hasAuthorship W2948008988A5063070312 @default.
- W2948008988 hasAuthorship W2948008988A5076293396 @default.
- W2948008988 hasAuthorship W2948008988A5081498062 @default.
- W2948008988 hasConcept C106159729 @default.
- W2948008988 hasConcept C117996083 @default.
- W2948008988 hasConcept C13290067 @default.
- W2948008988 hasConcept C136764020 @default.
- W2948008988 hasConcept C149782125 @default.
- W2948008988 hasConcept C162324750 @default.
- W2948008988 hasConcept C24189920 @default.
- W2948008988 hasConcept C2777382242 @default.
- W2948008988 hasConcept C41008148 @default.
- W2948008988 hasConcept C60092789 @default.
- W2948008988 hasConcept C85393063 @default.
- W2948008988 hasConcept C91602232 @default.
- W2948008988 hasConceptScore W2948008988C106159729 @default.
- W2948008988 hasConceptScore W2948008988C117996083 @default.
- W2948008988 hasConceptScore W2948008988C13290067 @default.
- W2948008988 hasConceptScore W2948008988C136764020 @default.
- W2948008988 hasConceptScore W2948008988C149782125 @default.
- W2948008988 hasConceptScore W2948008988C162324750 @default.
- W2948008988 hasConceptScore W2948008988C24189920 @default.
- W2948008988 hasConceptScore W2948008988C2777382242 @default.
- W2948008988 hasConceptScore W2948008988C41008148 @default.
- W2948008988 hasConceptScore W2948008988C60092789 @default.
- W2948008988 hasConceptScore W2948008988C85393063 @default.
- W2948008988 hasConceptScore W2948008988C91602232 @default.
- W2948008988 hasLocation W29480089881 @default.
- W2948008988 hasOpenAccess W2948008988 @default.
- W2948008988 hasPrimaryLocation W29480089881 @default.
- W2948008988 hasRelatedWork W1601663295 @default.
- W2948008988 hasRelatedWork W171669014 @default.
- W2948008988 hasRelatedWork W1841190999 @default.
- W2948008988 hasRelatedWork W2043161419 @default.
- W2948008988 hasRelatedWork W2107932680 @default.
- W2948008988 hasRelatedWork W2126280635 @default.
- W2948008988 hasRelatedWork W2184176858 @default.
- W2948008988 hasRelatedWork W2207394838 @default.
- W2948008988 hasRelatedWork W2264942019 @default.
- W2948008988 hasRelatedWork W2274116028 @default.
- W2948008988 hasRelatedWork W2727657760 @default.
- W2948008988 hasRelatedWork W2993763738 @default.
- W2948008988 hasRelatedWork W3033634575 @default.
- W2948008988 hasRelatedWork W3116766570 @default.
- W2948008988 hasRelatedWork W3122006457 @default.
- W2948008988 hasRelatedWork W3122883661 @default.
- W2948008988 hasRelatedWork W3126130098 @default.
- W2948008988 hasRelatedWork W3172516416 @default.
- W2948008988 hasRelatedWork W3184454133 @default.
- W2948008988 hasRelatedWork W2189618682 @default.
- W2948008988 isParatext "false" @default.
- W2948008988 isRetracted "false" @default.
- W2948008988 magId "2948008988" @default.
- W2948008988 workType "article" @default.