Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S & P 500 Options *

@inproceedings{Neumanna2012PredictableDI,
  title={Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S & P 500 Options *},
  author={Michael Neumanna and George Skiadopoulosb},
  year={2012}
}
  • Michael Neumanna, George Skiadopoulosb
  • Published 2012
We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting horizons. We consider both a statistical and an economic setting. We find that higher risk-neutral moments can be statistically forecasted. However, only the one-day-ahead skewness forecasts can be… CONTINUE READING
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