The SKEW index: Extracting what has been left
نویسندگان
چکیده
This study disentangles a measure of implied skewness that is related to downward movements in the U.S. equity index from corresponding associated with upward movements. A positive SKEW constructed S&P 500 call options, whereas negative put options. We show linked market sentiment, existing tail risk measures. The proposed as more objective prudent measure, and it found be able predict recessions, downturns, uncertainty indicators up one year advance. predictive power also confirmed when we control for other measures out-of-sample.
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ژورنال
عنوان ژورنال: Journal of Financial Stability
سال: 2021
ISSN: ['1572-3089', '1878-0962']
DOI: https://doi.org/10.1016/j.jfs.2020.100816