Implicit Quantiles and Expectiles

26 Pages Posted: 1 Oct 2019 Last revised: 1 Jul 2020

See all articles by Fabio Bellini

Fabio Bellini

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Edit Rroji

Polytechnic University of Milan - Department of Mathematics; Department of Statistics and Quantitative Methods University of Milano-Bicocca

Carlo Sala

ESADE Business School

Date Written: September 19, 2019

Abstract

We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5 year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option implied interquantile and interexpectile differences, that are compared with a weekly VIX like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances.

Suggested Citation

Bellini, Fabio and Rroji, Edit and Sala, Carlo, Implicit Quantiles and Expectiles (September 19, 2019). Available at SSRN: https://ssrn.com/abstract=3456631 or http://dx.doi.org/10.2139/ssrn.3456631

Fabio Bellini

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi ( email )

Milano, Milan
Italy

Edit Rroji (Contact Author)

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Department of Statistics and Quantitative Methods University of Milano-Bicocca ( email )

Piazza dell’Ateneo Nuovo 1, 20126 Milano
Milano, 20126
Italy

Carlo Sala

ESADE Business School ( email )

Avenida de Torreblanca 59
Barcelona, Barcelona 08172
Spain

HOME PAGE: http://www.people.usi.ch/salaca

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