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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP7436 |
DP7436 When Everyone Runs for the Exit | |
Lasse Heje Pedersen | |
发表日期 | 2009-08-23 |
出版年 | 2009 |
语种 | 英语 |
摘要 | We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants: skewness, kurtosis, and so on. We show that high-order cumulants are quantitatively important in both representative-agent models with disasters and in a statistical pricing model estimated from equity index options. Option prices thus provide independent confirmation of the impact of extreme events on asset returns, but they imply a more modest distribution of them. |
主题 | Financial Economics |
关键词 | Cumulants Entropy Equity premium Implied volatility Pricing kernel Risk-neutral probabilities |
URL | https://cepr.org/publications/dp7436 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536270 |
推荐引用方式 GB/T 7714 | Lasse Heje Pedersen. DP7436 When Everyone Runs for the Exit. 2009. |
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