Option-Implied Kurtosis
The research concludes that including risk-neutral volatility skewness and kurtosis in forecasting models does not improve their predictive power and may even lead to less accurate predictions.
Featured in No. 45 on 17 Apr 2024 · on release day
- Released
- 17 Apr 2024
- First featured
- No. 45 · 17 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 11
- Identifier
- RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374
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