Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help?

Eric Engstrom

No 2014-05-07, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Stock market gyrations are notoriously hard to predict, and not for lack of effort by legions of investors, market commentators and academics. In this article, we investigate whether efforts to forecast stock market crashes, in particular, can be aided by using information embedded in options prices.

Date: 2014-05-07
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2014-05-07

DOI: 10.17016/2380-7172.0017

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