Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/14116
Title: | Crash of '87 - Was it expected?. Aggregate market fears and long-range dependence | Authors: | Gençay R. Gradojević, Nikola |
Issue Date: | 1-Mar-2010 | Journal: | Journal of Empirical Finance | Abstract: | We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash. © 2009 Elsevier B.V. All rights reserved. | URI: | https://open.uns.ac.rs/handle/123456789/14116 | ISSN: | 09275398 | DOI: | 10.1016/j.jempfin.2009.09.006 |
Appears in Collections: | FTN Publikacije/Publications |
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