Implicit expectiles and measures of implied volatility

DOI10.1080/14697688.2018.1447680MaRDI QIDQ4619525zbMATH OpenOpenAlexFDO

Authors Fabio Bellini, Lorenzo Mercuri, Edit Rroji

Publication date 6 February 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2434/571565

zbMATH Keywords

expectilesimplied volatilityinterexpectile differenceVIX index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Analysis of integrated and co-integrated time series with R
• Asymmetric Least Squares Estimation and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Expectiles, omega ratios and stochastic ordering
• Generalized deviations in risk analysis
• Generalized quantiles as risk measures
• Implementation of Lévy CARMA model in \texttt{yuima} package
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On elicitable risk measures
• Principal component analysis.
• Risk measures with the CxLS property
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(18)

• Implied volatility and skewness surface
• The role of news-based implied volatility among US financial markets
• Risk parity with expectiles
• The stock implied volatility and the implied dividend volatility
• Implicit quantiles and expectiles
• Market implied volatilities for defaultable bonds
• A framework for robust measurement of implied correlation
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• On the dependence structure between S\&P500, VIX and implicit interexpectile differences
• Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
• scientific article; zbMATH DE number 7295154 (Why is no real title available?)
• Asymptotics of Forward Implied Volatility
• Risk premiums in a simple market model for implied volatility
• An elastic-net penalized expectile regression with applications
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Implied value-at-risk and model-free simulation
• Defining dispersion: a fundamental order for univariate discrete distributions
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application

Describes a project that uses

Uses Software

• YUIMA

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