學術產出-期刊論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

TAIR相關學術產出

題名 Crash risk and risk neutral densities
作者 謝沛霖
Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey
貢獻者 財管系
關鍵詞 European crisis; Subprime crisis; Tail risk; Risk neutral density; FX option
日期 2018-06
上傳時間 2024-09-11
摘要 “Crash risk” has been one of the major focuses in the recent asset pricing literature. Motivated by the recent literature that suggests an increase in crash risk since Fall 2008 and the recent troubles in the Euro zone, we use EUR/USD FX options for January 2, 2008 to March 18, 2015 to study option-implied risk-neutral densities (RND). We find that RND, especially higher moments, has superior explanatory power in predicting and explaining crash risk and its risk premiums. Furthermore, the higher moments of RND co-move closely with macroeconomic variables. Consistently, we find RND moments outperform the implied volatility from the Black–Scholes model.
關聯 Journal of Empirical Finance, Vol.47, pp.162-189
資料類型 article
DOI https://doi.org/10.1016/j.jempfin.2018.03.006
dc.contributor 財管系
dc.creator (作者) 謝沛霖
dc.creator (作者) Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey
dc.date (日期) 2018-06
dc.date.accessioned 2024-09-11-
dc.date.available 2024-09-11-
dc.date.issued (上傳時間) 2024-09-11-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153750-
dc.description.abstract (摘要) “Crash risk” has been one of the major focuses in the recent asset pricing literature. Motivated by the recent literature that suggests an increase in crash risk since Fall 2008 and the recent troubles in the Euro zone, we use EUR/USD FX options for January 2, 2008 to March 18, 2015 to study option-implied risk-neutral densities (RND). We find that RND, especially higher moments, has superior explanatory power in predicting and explaining crash risk and its risk premiums. Furthermore, the higher moments of RND co-move closely with macroeconomic variables. Consistently, we find RND moments outperform the implied volatility from the Black–Scholes model.
dc.format.extent 109 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Journal of Empirical Finance, Vol.47, pp.162-189
dc.subject (關鍵詞) European crisis; Subprime crisis; Tail risk; Risk neutral density; FX option
dc.title (題名) Crash risk and risk neutral densities
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.jempfin.2018.03.006
dc.doi.uri (DOI) https://doi.org/10.1016/j.jempfin.2018.03.006