Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Conference Presentation |
| Scope | Contributions to practice |
| Title | Day before the crash of 1987 |
| Organization Unit | |
| Authors |
|
| Presentation Type | speech |
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Event Title | Bank of Canada Financial Forecasting Workshop |
| Event Type | workshop |
| Event Location | Ottawa |
| Event Start Date | May 1 - 2006 |
| Event End Date | May 4 - 2006 |
| Abstract Text | 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. |
| Other Identification Number | http://www.rcfea.org/RePEc/pdf/wp28_09.pdf |
| Export |
BibTeX
|