학회소식
학회소식
[2011년 제 2차] The Information Content of the Risk-Neutral Skewnes
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조회수 : 765
게시일 :
2011-06-03
This paper investigates the information content of the risk-neutral skewness derived from S&P 500 index option prices for forecasting future volatility. Empirical results show that the risk-neutral skewness provides incremental explanatory power for future volatility. Moreover, the models with the risk-neutral skewness dominate in terms of out-of-sample forecasting performance, especially during the 2007-2008 financial crisis.