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Titel:

Modeling the Dynamics of Higher Order Moments: Evidence from the S&P 500 Options

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Neumann, M.; Skiadopoulos, G.
Nicht-TUM Koautoren:
ja
Kooperation:
-
Abstract:
Previous studies have studied the dynamics of higher moments by estimating them via specific parametric models that employ backward-looking historical data. Instead, in this paper, we investigate the dynamics of higher moments by employing their model-free forward looking risk-neutral counterparts extracted from S&P; 500 options. To identify the process that governs their evolution, a horse race among alternative models is conducted within an out-of-sample context across various horizons. To this...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
working paper
Jahr:
2011
Seitenangaben Beitrag:
-
Reviewed:
ja
Sprache:
de
Status:
Erstveröffentlichung
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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