Michael Neumann

Independent

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 45,250

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Top 45,250

in Total Papers Downloads

918

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (3)

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 31 Dec 2010 Last Revised: 12 Mar 2012
Michael Neumann and George S. Skiadopoulos
Independent and Queen Mary, University of London, School of Economics and Finance
Downloads 504 (54,679)
Citation 6

Abstract:

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 12 Mar 2012
Michael Neumann and George S. Skiadopoulos
Independent and Queen Mary, University of London, School of Economics and Finance

Abstract:

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

2.

Financial Sector Tail Risk and Real Economic Activity: Evidence from the Option Market

Number of pages: 46 Posted: 07 Oct 2014
Michael Neumann
Independent
Downloads 213 (144,234)

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Predictability, Real Economic Activity, Option Markets, Systemic Risk, Financial Institutions

3.

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
King's College, London, University of Manchester - Manchester Business School, Independent and Queen Mary, University of London, School of Economics and Finance
Downloads 201 (152,363)
Citation 3

Abstract:

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Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements