Please use this identifier to cite or link to this item: https://open.uns.ac.rs/handle/123456789/14116
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dc.contributor.authorGençay R.en
dc.contributor.authorGradojević, Nikolaen
dc.date.accessioned2020-03-03T14:54:59Z-
dc.date.available2020-03-03T14:54:59Z-
dc.date.issued2010-03-01en
dc.identifier.issn09275398en
dc.identifier.urihttps://open.uns.ac.rs/handle/123456789/14116-
dc.description.abstractWe 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.en
dc.relation.ispartofJournal of Empirical Financeen
dc.titleCrash of '87 - Was it expected?. Aggregate market fears and long-range dependenceen
dc.typeJournal/Magazine Articleen
dc.identifier.doi10.1016/j.jempfin.2009.09.006en
dc.identifier.scopus2-s2.0-76949083478en
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/76949083478en
dc.relation.lastpage282en
dc.relation.firstpage270en
dc.relation.issue2en
dc.relation.volume17en
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptFakultet tehničkih nauka-
crisitem.author.parentorgUniverzitet u Novom Sadu-
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