Молимо вас користите овај идентификатор за цитирање или овај линк до ове ставке:
https://open.uns.ac.rs/handle/123456789/4293
Назив: | Predicting Systemic Risk with Entropic Indicators | Аутори: | Gradojević, Nikola Carić, Marko |
Датум издавања: | 1-јан-2017 | Часопис: | Journal of Forecasting | Сажетак: | 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 |
Налази се у колекцијама: | FTN Publikacije/Publications |
Приказати целокупан запис ставки
SCOPUSTM
Навођења
23
проверено 08.03.2024.
Преглед/и станица
19
Протекла недеља
12
12
Протекли месец
0
0
проверено 03.05.2024.
Google ScholarTM
Проверите
Алт метрика
Ставке на DSpace-у су заштићене ауторским правима, са свим правима задржаним, осим ако није другачије назначено.