Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/4293
Title: | Predicting Systemic Risk with Entropic Indicators | Authors: | Gradojević N. Carić M. |
Issue Date: | 1-Jan-2017 | Journal: | Journal of Forecasting | Abstract: | Copyright © 2016 John Wiley & Sons, Ltd. This paper concentrates on quantifying the behavioral aspects of systemic risk by using a novel approach based on entropy. More specifically, we study aggregate market expectations and the predictability of systemic risk before and during the financial crisis in 2008. Two underlying signals for estimating entropic risk measures are considered: (i) skewness premium of deepest out-of-the-money options; and (ii) implied volatility ratio in regard to deepest out-of-the-money options. The findings confirm the predictive and contemporaneous usefulness of our entropy setting in market risk management. The degree of predictability is closely linked to both the type of entropy and the nature of the underlying signal. Copyright © 2016 John Wiley & Sons, Ltd. | URI: | https://open.uns.ac.rs/handle/123456789/4293 | ISSN: | 02776693 | DOI: | 10.1002/for.2411 |
Appears in Collections: | Naučne i umetničke publikacije |
Show full item record
SCOPUSTM
Citations
23
checked on Mar 8, 2024
Page view(s)
7
Last Week
0
0
Last month
0
0
checked on Mar 15, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.