Forward looking up-/down correlations
Equity returns are typically higher correlated during market downturns than during bullish times. This paper develops a novel approach how investor expectations for such correlation asymmetries can be quantified from forward-looking data. Based on option implied volatilities, it is found that the co...
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| Format: | Article |
| Language: | English |
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AIMS Press
2021-06-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2021021?viewType=HTML |