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Jun 12

Recovering Index Implied Volatility Skew Week in Review

Posted by abiao at 09:38 | Paper Review | Comments(2) | Reads(7678)
General publication strategies: advice on paper publication, especially for early stage researchers.

New Book Fore­cast­ing: prin­ci­ples and practice: a free online book on forecasting with a fore­cast pack­age for R by Rob J Hyn­d­man and George Athana­sopou­los.

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification: we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover. These timing strategies outperform naïve diversification even in the presence of high transaction costs.

Option pricing models implemented in AirXCell: an online R application framework currently supporting a programmable spreadsheet, an R development environment and various financial calculation forms.

A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew: We show that moderate tail dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew. Standard dynamic correlation models with zero tail dependence fail to generate a sufficiently steep implied volatility skew.

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