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Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

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Author Info
Francisco Alonso () (Bank of Spain)
Roberto Blanco () (Bank of Spain)
Gonzalo Rubio () (Universidad del País Vasco)
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File URL: http://www.dfaeii.ehu.es/s0044-con/en/contenidos/informacion/00044_documentos/en_00044_dc/adjuntos/wp2005-09.pdf
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Paper provided by University of the Basque Country - Department of Foundations of Economic Analysis II in its series DFAEII Working Papers with number 200509.

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Date of creation: 22 Jun 2005
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Publication status: Forthcoming in Cuadernos Económicos del ICE
Handle: RePEc:ehu:dfaeii:200509

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Postal: Dpto. de Fundamentos del Análisis Económico II, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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Keywords: risk-neutral densities; forecasting performance;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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  1. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de España Working Papers 0630, Banco de España. [Downloadable!]
  2. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
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