O'Reilly logo

Handbook of Economic Forecasting by Allan Timmermann, Graham Elliott

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 10

Forecasting with Option-Implied Information

Peter Christoffersen*,, Kris Jacobs,** and Bo Young Chang††,     *Rotman School of Management, University of Toronto, Canada, Copenhagen Business School and CREATES, Denmark, Bauer College of Business, University of Houston, USA, **Tilburg University, Netherlands, ††Financial Markets Department, Bank of Canada, Canada.

Abstract

This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any forecasting object that is a twice differentiable function of the future realization of the underlying risky asset price can utilize ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required