Yan Xiao

Goethe University Frankfurt

Ph.D. Student

Gr├╝neburgplatz 1

Frankfurt am Main, DE 60323

Germany

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Scholarly Papers (1)

Option-Implied Information and Predictability of Extreme Returns

Number of pages: 37 Posted: 16 Sep 2012 Last Revised: 25 Sep 2012
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 600 (41,172)

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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization

Option-Implied Information and Predictability of Extreme Returns

SAFE Working Paper No. 5
Number of pages: 40 Posted: 01 Feb 2013
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 364 (76,800)

Abstract:

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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization