Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/14116
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Gençay R. | en |
dc.contributor.author | Gradojević, Nikola | en |
dc.date.accessioned | 2020-03-03T14:54:59Z | - |
dc.date.available | 2020-03-03T14:54:59Z | - |
dc.date.issued | 2010-03-01 | en |
dc.identifier.issn | 09275398 | en |
dc.identifier.uri | https://open.uns.ac.rs/handle/123456789/14116 | - |
dc.description.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. | en |
dc.relation.ispartof | Journal of Empirical Finance | en |
dc.title | Crash of '87 - Was it expected?. Aggregate market fears and long-range dependence | en |
dc.type | Journal/Magazine Article | en |
dc.identifier.doi | 10.1016/j.jempfin.2009.09.006 | en |
dc.identifier.scopus | 2-s2.0-76949083478 | en |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/76949083478 | en |
dc.relation.lastpage | 282 | en |
dc.relation.firstpage | 270 | en |
dc.relation.issue | 2 | en |
dc.relation.volume | 17 | en |
item.fulltext | No Fulltext | - |
item.grantfulltext | none | - |
crisitem.author.dept | Fakultet tehničkih nauka | - |
crisitem.author.parentorg | Univerzitet u Novom Sadu | - |
Appears in Collections: | FTN Publikacije/Publications |
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