Analysing implied volatility smirk to predict the US stock market crash during the global financial crisis

This study analyses the presence of implied volatility smirk (IVS) and its predictability of the US stock market crash during the Global Financial Crisis (GFC) through the in-sample and out-of-sample tests. The in-sample investigation was conducted for 18 cases (cases 1–18) to confirm the developmen...

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Bibliografische Detailangaben

Hauptverfasser:	Tanvir Bhuiyan, Ariful Hoque, Thi Le
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	Elsevier 2023-12-01
Schriftenreihe:	Journal of Open Innovation: Technology, Market and Complexity
Schlagworte:	Implied volatility smirk Global financial crisis Stock market crash
Online-Zugang:	http://www.sciencedirect.com/science/article/pii/S2199853123002676
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