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    題名: Extrapolation and option-implied kurtosis in volatility forecasting
    作者: 許永明
    Shiu, Yung-Ming;Pan, Ging-Ginq;Wu, Tu-Cheng
    貢獻者: 風管系
    關鍵詞: Extrapolation;Risk-neutral skewness;Risk-neutral kurtosis;Volatility forecasting
    日期: 2024-04
    上傳時間: 2024-05-24 11:00:23 (UTC+8)
    摘要: Prior studies have employed extrapolation to reduce truncation errors when computing risk-neutral moments. However, extrapolation may have a disadvantage in that it obscures the predictive power of risk-neutral skewness and kurtosis. Our out-of-sample results show that extrapolation does not enhance the predictive power of the volatility forecasting models when risk-neutral volatility, skewness, and kurtosis are included. Under this model specification, extrapolation generates less accurate forecasts and obscures the performance of risk-neutral kurtosis in volatility forecasting.
    關聯: Pacific-Basin Finance Journal, Vol.84, 102286
    資料類型: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2024.102286
    DOI: 10.1016/j.pacfin.2024.102286
    顯示於類別:[風險管理與保險學系] 期刊論文

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