English, Article, Journal or magazine article edition: Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence Ramazan Gencay; Nikola Gradojevic

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Bookmark: http://trove.nla.gov.au/version/25471
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
Author
  • Ramazan Gencay
  • Nikola Gradojevic
Physical Description
  • preprint
Notes
  • We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash
  • Non-additive Entropy, Shannon Entropy, Tsallis Entropy, q-Gaussian Distribution, Skewness Premium
  • RePEc:rim:rimwps:wp28_09
Language
  • English
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