Crash of '87 - Was it expected?. Aggregate market fears and long-range dependence

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Назив:	Crash of '87 - Was it expected?. Aggregate market fears and long-range dependence
Аутори:	Gençay R. Gradojević, Nikola
Датум издавања:	1-мар-2010
Часопис:	Journal of Empirical Finance
Сажетак:	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
Налази се у колекцијама:	FTN Publikacije/Publications