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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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Elsevier
2023-12-01
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| Col·lecció: | Journal of Open Innovation: Technology, Market and Complexity |
| Matèries: | |
| Accés en línia: | http://www.sciencedirect.com/science/article/pii/S2199853123002676 |
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