Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities
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- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Working Papers 0504, Banco de España.
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Cited by:
- Maria Grith & Wolfgang K. Härdle & Volker Krätschmer, 2017. "Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle," Review of Finance, European Finance Association, vol. 21(1), pages 269-298.
- Ricardo Crisóstomo & Lorena Couso, 2018.
"Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
- Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
- Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
- Duca, Ioana Andreea & Ruxanda, Gheorghe, 2013. "A View on the Risk-Neutral Density Forecasting of the Dax30 Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 101-114, June.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009.
"Option-implied preferences adjustments, density forecasts, and the equity risk premium,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(2), pages 141-164, June.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers 0630, Banco de España.
- Birru, Justin & Figlewski, Stephen, 2012. "Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008," Journal of Financial Markets, Elsevier, vol. 15(2), pages 151-180.
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More about this item
Keywords
risk-neutral densities; forecasting performance;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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