Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
نویسندگان
چکیده
منابع مشابه
Crash of '87 — Was it expected?
Available online 12 September 2009 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 ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.959547