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Market Timing with Option-Implied Distributions: A Forward-Looking Approach · Study

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Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Alexandros Kostakis, Nikolaos Panigirtzoglou, George S. Skiadopoulos

2011-01-01articleManagement Science126 citationsgreen

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach

1973Theory of Rational Option Pricing

2005Theory of rational option pricing

2009Deciphering the Liquidity and Credit Crunch 2007–2008

2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?

1976The pricing of commodity contracts

1980On estimating the expected return on the market

1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

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2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options

2012Volatility spillovers and the effect of news announcements

2013Forecasting with Option-Implied Information

2011Improving Portfolio Selection Using Option-Implied Volatility and Skewness

2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

2010A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices

2017Diversification benefits of commodities: A stochastic dominance efficiency approach

Details

Year2011

Typearticle

VenueManagement Science

Languageen

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Identifiers

doi10.1287/mnsc.1110.1346

openalex_workW3124485682

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