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State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the...
