Implicit quantiles and expectiles
Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the pot...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Bellini, Fabio [verfasserIn] |
|---|
| Format: |
Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2021 |
|---|
| Schlagwörter: |
|---|
| Anmerkung: |
© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 |
|---|
| Übergeordnetes Werk: |
Enthalten in: Annals of operations research - Springer US, 1984, 313(2021), 2 vom: 01. Apr., Seite 733-753 |
|---|---|
| Übergeordnetes Werk: |
volume:313 ; year:2021 ; number:2 ; day:01 ; month:04 ; pages:733-753 |
| Links: |
|---|
| DOI / URN: |
10.1007/s10479-021-04054-8 |
|---|
| Katalog-ID: |
OLC2078931233 |
|---|
| LEADER | 01000caa a22002652 4500 | ||
|---|---|---|---|
| 001 | OLC2078931233 | ||
| 003 | DE-627 | ||
| 005 | 20230506031605.0 | ||
| 007 | tu | ||
| 008 | 221220s2021 xx ||||| 00| ||eng c | ||
| 024 | 7 | |a 10.1007/s10479-021-04054-8 |2 doi | |
| 035 | |a (DE-627)OLC2078931233 | ||
| 035 | |a (DE-He213)s10479-021-04054-8-p | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rakwb | ||
| 041 | |a eng | ||
| 082 | 0 | 4 | |a 004 |q VZ |
| 084 | |a 3,2 |2 ssgn | ||
| 100 | 1 | |a Bellini, Fabio |e verfasserin |4 aut | |
| 245 | 1 | 0 | |a Implicit quantiles and expectiles |
| 264 | 1 | |c 2021 | |
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a ohne Hilfsmittel zu benutzen |b n |2 rdamedia | ||
| 338 | |a Band |b nc |2 rdacarrier | ||
| 500 | |a © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 | ||
| 520 | |a Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. | ||
| 650 | 4 | |a Risk-neutral distribution | |
| 650 | 4 | |a Weekly options | |
| 650 | 4 | |a Quantiles | |
| 650 | 4 | |a Expectiles | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Forecasting | |
| 700 | 1 | |a Rroji, Edit |4 aut | |
| 700 | 1 | |a Sala, Carlo |0 (orcid)0000-0002-8090-6392 |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t Annals of operations research |d Springer US, 1984 |g 313(2021), 2 vom: 01. Apr., Seite 733-753 |w (DE-627)12964370X |w (DE-600)252629-3 |w (DE-576)018141862 |x 0254-5330 |
| 773 | 1 | 8 | |g volume:313 |g year:2021 |g number:2 |g day:01 |g month:04 |g pages:733-753 |
| 856 | 4 | 1 | |u https://doi.org/10.1007/s10479-021-04054-8 |z lizenzpflichtig |3 Volltext |
| 912 | |a GBV_USEFLAG_A | ||
| 912 | |a SYSFLAG_A | ||
| 912 | |a GBV_OLC | ||
| 912 | |a SSG-OLC-WIW | ||
| 912 | |a SSG-OLC-MAT | ||
| 951 | |a AR | ||
| 952 | |d 313 |j 2021 |e 2 |b 01 |c 04 |h 733-753 | ||
| author_variant |
f b fb e r er c s cs |
|---|---|
| matchkey_str |
article:02545330:2021----::mlctuniead |
| hierarchy_sort_str |
2021 |
| publishDate |
2021 |
| allfields |
10.1007/s10479-021-04054-8 doi (DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p DE-627 ger DE-627 rakwb eng 004 VZ 3,2 ssgn Bellini, Fabio verfasserin aut Implicit quantiles and expectiles 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting Rroji, Edit aut Sala, Carlo (orcid)0000-0002-8090-6392 aut Enthalten in Annals of operations research Springer US, 1984 313(2021), 2 vom: 01. Apr., Seite 733-753 (DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 0254-5330 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 https://doi.org/10.1007/s10479-021-04054-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT AR 313 2021 2 01 04 733-753 |
| spelling |
10.1007/s10479-021-04054-8 doi (DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p DE-627 ger DE-627 rakwb eng 004 VZ 3,2 ssgn Bellini, Fabio verfasserin aut Implicit quantiles and expectiles 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting Rroji, Edit aut Sala, Carlo (orcid)0000-0002-8090-6392 aut Enthalten in Annals of operations research Springer US, 1984 313(2021), 2 vom: 01. Apr., Seite 733-753 (DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 0254-5330 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 https://doi.org/10.1007/s10479-021-04054-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT AR 313 2021 2 01 04 733-753 |
| allfields_unstemmed |
10.1007/s10479-021-04054-8 doi (DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p DE-627 ger DE-627 rakwb eng 004 VZ 3,2 ssgn Bellini, Fabio verfasserin aut Implicit quantiles and expectiles 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting Rroji, Edit aut Sala, Carlo (orcid)0000-0002-8090-6392 aut Enthalten in Annals of operations research Springer US, 1984 313(2021), 2 vom: 01. Apr., Seite 733-753 (DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 0254-5330 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 https://doi.org/10.1007/s10479-021-04054-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT AR 313 2021 2 01 04 733-753 |
| allfieldsGer |
10.1007/s10479-021-04054-8 doi (DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p DE-627 ger DE-627 rakwb eng 004 VZ 3,2 ssgn Bellini, Fabio verfasserin aut Implicit quantiles and expectiles 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting Rroji, Edit aut Sala, Carlo (orcid)0000-0002-8090-6392 aut Enthalten in Annals of operations research Springer US, 1984 313(2021), 2 vom: 01. Apr., Seite 733-753 (DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 0254-5330 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 https://doi.org/10.1007/s10479-021-04054-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT AR 313 2021 2 01 04 733-753 |
| allfieldsSound |
10.1007/s10479-021-04054-8 doi (DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p DE-627 ger DE-627 rakwb eng 004 VZ 3,2 ssgn Bellini, Fabio verfasserin aut Implicit quantiles and expectiles 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting Rroji, Edit aut Sala, Carlo (orcid)0000-0002-8090-6392 aut Enthalten in Annals of operations research Springer US, 1984 313(2021), 2 vom: 01. Apr., Seite 733-753 (DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 0254-5330 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 https://doi.org/10.1007/s10479-021-04054-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT AR 313 2021 2 01 04 733-753 |
| language |
English |
| source |
Enthalten in Annals of operations research 313(2021), 2 vom: 01. Apr., Seite 733-753 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 |
| sourceStr |
Enthalten in Annals of operations research 313(2021), 2 vom: 01. Apr., Seite 733-753 volume:313 year:2021 number:2 day:01 month:04 pages:733-753 |
| format_phy_str_mv |
Article |
| institution |
findex.gbv.de |
| topic_facet |
Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting |
| dewey-raw |
004 |
| isfreeaccess_bool |
false |
| container_title |
Annals of operations research |
| authorswithroles_txt_mv |
Bellini, Fabio @@aut@@ Rroji, Edit @@aut@@ Sala, Carlo @@aut@@ |
| publishDateDaySort_date |
2021-04-01T00:00:00Z |
| hierarchy_top_id |
12964370X |
| dewey-sort |
14 |
| id |
OLC2078931233 |
| language_de |
englisch |
| fullrecord |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2078931233</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230506031605.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">221220s2021 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10479-021-04054-8</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2078931233</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10479-021-04054-8-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">004</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">3,2</subfield><subfield code="2">ssgn</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bellini, Fabio</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Implicit quantiles and expectiles</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2021</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk-neutral distribution</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Weekly options</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantiles</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Expectiles</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Forecasting</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rroji, Edit</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Sala, Carlo</subfield><subfield code="0">(orcid)0000-0002-8090-6392</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Annals of operations research</subfield><subfield code="d">Springer US, 1984</subfield><subfield code="g">313(2021), 2 vom: 01. Apr., Seite 733-753</subfield><subfield code="w">(DE-627)12964370X</subfield><subfield code="w">(DE-600)252629-3</subfield><subfield code="w">(DE-576)018141862</subfield><subfield code="x">0254-5330</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:313</subfield><subfield code="g">year:2021</subfield><subfield code="g">number:2</subfield><subfield code="g">day:01</subfield><subfield code="g">month:04</subfield><subfield code="g">pages:733-753</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10479-021-04054-8</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">313</subfield><subfield code="j">2021</subfield><subfield code="e">2</subfield><subfield code="b">01</subfield><subfield code="c">04</subfield><subfield code="h">733-753</subfield></datafield></record></collection>
|
| author |
Bellini, Fabio |
| spellingShingle |
Bellini, Fabio ddc 004 ssgn 3,2 misc Risk-neutral distribution misc Weekly options misc Quantiles misc Expectiles misc Risk management misc Forecasting Implicit quantiles and expectiles |
| authorStr |
Bellini, Fabio |
| ppnlink_with_tag_str_mv |
@@773@@(DE-627)12964370X |
| format |
Article |
| dewey-ones |
004 - Data processing & computer science |
| delete_txt_mv |
keep |
| author_role |
aut aut aut |
| collection |
OLC |
| remote_str |
false |
| illustrated |
Not Illustrated |
| issn |
0254-5330 |
| topic_title |
004 VZ 3,2 ssgn Implicit quantiles and expectiles Risk-neutral distribution Weekly options Quantiles Expectiles Risk management Forecasting |
| topic |
ddc 004 ssgn 3,2 misc Risk-neutral distribution misc Weekly options misc Quantiles misc Expectiles misc Risk management misc Forecasting |
| topic_unstemmed |
ddc 004 ssgn 3,2 misc Risk-neutral distribution misc Weekly options misc Quantiles misc Expectiles misc Risk management misc Forecasting |
| topic_browse |
ddc 004 ssgn 3,2 misc Risk-neutral distribution misc Weekly options misc Quantiles misc Expectiles misc Risk management misc Forecasting |
| format_facet |
Aufsätze Gedruckte Aufsätze |
| format_main_str_mv |
Text Zeitschrift/Artikel |
| carriertype_str_mv |
nc |
| hierarchy_parent_title |
Annals of operations research |
| hierarchy_parent_id |
12964370X |
| dewey-tens |
000 - Computer science, knowledge & systems |
| hierarchy_top_title |
Annals of operations research |
| isfreeaccess_txt |
false |
| familylinks_str_mv |
(DE-627)12964370X (DE-600)252629-3 (DE-576)018141862 |
| title |
Implicit quantiles and expectiles |
| ctrlnum |
(DE-627)OLC2078931233 (DE-He213)s10479-021-04054-8-p |
| title_full |
Implicit quantiles and expectiles |
| author_sort |
Bellini, Fabio |
| journal |
Annals of operations research |
| journalStr |
Annals of operations research |
| lang_code |
eng |
| isOA_bool |
false |
| dewey-hundreds |
000 - Computer science, information & general works |
| recordtype |
marc |
| publishDateSort |
2021 |
| contenttype_str_mv |
txt |
| container_start_page |
733 |
| author_browse |
Bellini, Fabio Rroji, Edit Sala, Carlo |
| container_volume |
313 |
| class |
004 VZ 3,2 ssgn |
| format_se |
Aufsätze |
| author-letter |
Bellini, Fabio |
| doi_str_mv |
10.1007/s10479-021-04054-8 |
| normlink |
(ORCID)0000-0002-8090-6392 |
| normlink_prefix_str_mv |
(orcid)0000-0002-8090-6392 |
| dewey-full |
004 |
| title_sort |
implicit quantiles and expectiles |
| title_auth |
Implicit quantiles and expectiles |
| abstract |
Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 |
| abstractGer |
Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 |
| abstract_unstemmed |
Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 |
| collection_details |
GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-MAT |
| container_issue |
2 |
| title_short |
Implicit quantiles and expectiles |
| url |
https://doi.org/10.1007/s10479-021-04054-8 |
| remote_bool |
false |
| author2 |
Rroji, Edit Sala, Carlo |
| author2Str |
Rroji, Edit Sala, Carlo |
| ppnlink |
12964370X |
| mediatype_str_mv |
n |
| isOA_txt |
false |
| hochschulschrift_bool |
false |
| doi_str |
10.1007/s10479-021-04054-8 |
| up_date |
2024-07-03T22:47:09.475Z |
| _version_ |
1803599824265674752 |
| fullrecord_marcxml |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2078931233</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230506031605.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">221220s2021 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s10479-021-04054-8</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2078931233</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s10479-021-04054-8-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">004</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">3,2</subfield><subfield code="2">ssgn</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bellini, Fabio</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Implicit quantiles and expectiles</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2021</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk-neutral distribution</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Weekly options</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantiles</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Expectiles</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Forecasting</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rroji, Edit</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Sala, Carlo</subfield><subfield code="0">(orcid)0000-0002-8090-6392</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Annals of operations research</subfield><subfield code="d">Springer US, 1984</subfield><subfield code="g">313(2021), 2 vom: 01. Apr., Seite 733-753</subfield><subfield code="w">(DE-627)12964370X</subfield><subfield code="w">(DE-600)252629-3</subfield><subfield code="w">(DE-576)018141862</subfield><subfield code="x">0254-5330</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:313</subfield><subfield code="g">year:2021</subfield><subfield code="g">number:2</subfield><subfield code="g">day:01</subfield><subfield code="g">month:04</subfield><subfield code="g">pages:733-753</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s10479-021-04054-8</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">313</subfield><subfield code="j">2021</subfield><subfield code="e">2</subfield><subfield code="b">01</subfield><subfield code="c">04</subfield><subfield code="h">733-753</subfield></datafield></record></collection>
|
| score |
7.399624 |