Risk neutral densities and the September 2008 stock market crash Год выпуска: 2012Автор: Misha Wolynski and Martin TheimerИздательство: LAP Lambert Academic PublishingСтраниц: 72ISBN: 9783848444861Описание In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. For our estimated RND functions, retrieved by using the two lognormal method, we calculate standard deviation, skewness and kurtosis. We find that the options market did not predict the stock market crash. Instead, it reacted to it. Specifically, the reaction consisted of an increase in standard deviation, a decrease in left-skewness and kurtosis and a tendency toward a bimodal shape. Apart from the result regarding the skewness, these findings are consistent with research on earlier stock market crashes. However, earlier studies find that left-skewness increases as a reaction to a stock market crash. Thus, the decreased left-skewness appears to be a finding specific for this particular crash. Lastly, we note that the fact that RNDs seem to lack...
Похожие книги
Agriculture, and the Envir Joint Minnesota-Padova Conference on "Food, Paolo Caggiati, K. William Easter, Maurizio Canavari. Economic Studies on Food, Agriculture, and the Environment. – М.: , 0. – 0 с. Ricardo Ffrench-Davis, United Nations Economic Commission for Latin America and the Caribbean. Financial Crises in "Successful" Emerging Economies. – М.: , 0. – 0 с. Jael Miriam Silliman, Ynestra King, Population, and the Environment Committee on Women. Dangerous Intersections: Feminist Perspectives on Population, Environment, and Development. – М.: , 0. – 0 с. Energy Policy Forum, Paul Runci Rapporteur, Roger W. Sant, John A. Riggs, the Environment and the Economy Program on Energy, Paul Runci. After Kyoto : Are There Rational Pathways to a Sustainable Global Energy System?. – М.: , 0. – 0 с. National Center on Education and the Economy. Tough Choices or Tough Times: The Report of the New Commission on the Skills of the American Workforce. – М.: , 2006. – 208 с. Ande the Office Venus. The Temporary Employee's Handbook: A Guide to Success. – М.: , 2008. – 196 с. United Nations. Economic and Social Commission for Asia and the Pacific. Statistical Yearbook For Asia And The Pacific 2007 (Statistical Yearbook for Asia and the Pacific/Annuaire Statistique Pour L'asie Et Le Pacifique). – М.: , 2008. – 189 с. United Nations. Economic and Social Commission for Asia and the Pacific. Eco-efficiency: A Practical Path to Sustainable Development, a Reference for Eco-efficiency Partnership in North-east Asia (Economic and Social Commision for Asia and the Pacific). – М.: , 2008. – 80 с. United Nations. Economic and Social Commission for Asia and the Pacific. Climate Change Action in Asia and the Pacific: Lessons Learned and Policy Implications - a Guide to Clean Development Mechanism Projects Related to Municipal Solid Waste Management. – М.: , 2008. – 52 с. United Nations. Economic and Social Commission for Asia and the Pacific. Transport and Communications Bulletin for Asia and the Pacific: Container Transportation by Railways (Economic and Social Commission for Asia and the Pacific). – М.: , 2008. – 126 с. United Nations. Economic and Social Commission for Asia and the Pacific. Enhancing Pacific Connectivity: The Current Situation - Opportunities for Progress. – М.: , 2008. – 96 с. United Nations Economic Commission for Latin America and the Caribbean. Latin America and the Caribbean in the World Economy 2006: 2007 Trends. – М.: , 2008. – 194 с. Economics, and the Environment The H. John Heinz III Center for Science. The State of the Nation's Ecosystems 2008: Measuring the Land, Waters, and Living Resources of The United States. – М.: , 2008. – 300 с. GeniusDV and the AGI Creative Team. Final Cut Pro® Portable Genius. – М.: , 2008. – 272 с. Kaori and the Lizard King Audio Pack (Scholastic ELT Readers) (Scholastic ELT Readers). Kaori and the Lizard King Audio Pack (Scholastic ELT Readers) (Scholastic ELT Readers). – М.: , 2006. – 32 с. Ethel Rompilla and The New York School of Interior Design. Color for Interior Design. – М.: , 2005. – 224 с. Judith Choate and The French Culinary Institute. Fundamental Techniques of Classic Pastry Arts, The. – М.: , 2009. – 496 с. Образцы работ
Задайте свой вопрос по вашей теме
Контакты
Поделиться
Мы в социальных сетях
Реклама
Отзывы
Света, 18.04 Я вчера сдала диплом на проверку,она (преподователь) при мне все пересмотрела и одобрила! (Сказала, что диплом очень хороший ). Спасибо Вам огромное, вы не представляете как вы мне помогли!!!!!Я Вам очень благодарна!!!!!!
