Predictable dynamics in higher order risk-neutral moments : Evidence from the S & P 500 options *

@inproceedings{Neumanna2011PredictableDI,
  title={Predictable dynamics in higher order risk-neutral moments : Evidence from the S & P 500 options *},
  author={Michael Neumanna and George Skiadopoulosb},
  year={2011}
}
  • Michael Neumanna, George Skiadopoulosb
We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the S&P 500 options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context. We consider both a statistical and an economic setting. We detect the set of statistically superior models by using the newly developed model confidence set methodology of Hansen, Lunde, and Nason (2010). We assess the economic significance of the… CONTINUE READING

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