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dc.contributor.authorKadan, Ohad
dc.contributor.authorLiu, Fang Ph.D
dc.contributor.authorTang, Xiaoxiao
dc.date.accessioned2020-09-11T13:49:26Z
dc.date.available2020-09-11T13:49:26Z
dc.date.issued2017-10-01
dc.identifier.other11377951
dc.identifier.urihttps://hdl.handle.net/1813/71365
dc.description.abstractWe show that any factor structure for stock returns can be naturally translated into a factor structure for return volatility. We use this structure to propose a methodology for estimating forward-looking variances and covariances of both factors and individual assets from option prices at a high frequency. We implement the model empirically and show that our forward-looking volatility estimates provide useful predictions of rare disasters for both factors and individual stocks.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: Copyright held by the authors.
dc.subjectstock return
dc.subjectvolatility
dc.subjectS&P 500 stocks
dc.subjectfacture structure
dc.subjectFam-MacBeth
dc.titleA Forward-Looking Factor Model for Volatility: Estimation and Implications for Predicting Disasters
dc.typepreprint
dc.description.legacydownloadsFang5_A_factor.pdf: 807 downloads, before Aug. 1, 2020.
local.authorAffiliationKadan, Ohad: Washington University in St. Louis
local.authorAffiliationLiu, Fang Ph.D: fl357@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationTang, Xiaoxiao: Washington University in St. Louis


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