spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
Python 66.5%
TeX 32.7%
Makefile 0.8%
1variable,coefficient,nw_se,nw_t_stat,nw_sig_5pct,target,method2const,0.00041763446448038824,4.316283685055031e-05,9.675788130572414,True,1-Day,Newey-West(5)3iv_atm_30d,0.0002801036146791042,0.00010701580073313487,2.617404278248575,True,1-Day,Newey-West(5)4iv_term_slope,8.139424135398084e-05,6.585570762361785e-05,1.2359481704937356,False,1-Day,Newey-West(5)5iv_skew_25d,0.0005589362280265604,0.00011006402431832819,5.078282676726411,True,1-Day,Newey-West(5)6implied_skewness,-0.000274319558538343,0.00010096100162072611,-2.7170843606411728,True,1-Day,Newey-West(5)7implied_kurtosis_proxy,3.198378790915099e-05,6.549824600209478e-05,0.48831518187720746,False,1-Day,Newey-West(5)8pc_volume_ratio,-1.4646140356723332e-06,4.70930140424354e-05,-0.031100452274143528,False,1-Day,Newey-West(5)9pc_oi_ratio,-6.372110421016923e-05,5.385638511816159e-05,-1.1831671225308629,False,1-Day,Newey-West(5)10net_gamma_exposure,5.053427056372953e-06,4.451452862931777e-05,0.11352309486311643,False,1-Day,Newey-West(5)11rv_daily,-0.0003205381939735492,0.00011473836742861566,-2.7936443681140193,True,1-Day,Newey-West(5)12rv_w,-4.7339039740473006e-05,0.00011438945571031518,-0.41384093880432865,False,1-Day,Newey-West(5)13const,0.0022494731376496314,0.00017116879437253463,13.141841337935935,True,5-Day,Newey-West(5)14iv_atm_30d,0.0013216839369709578,0.0003975016333988221,3.324977373476308,True,5-Day,Newey-West(5)15iv_term_slope,0.0011337202055724507,0.00024696584090778235,4.590595207034258,True,5-Day,Newey-West(5)16iv_skew_25d,-0.00037312837912515176,0.000402413945635202,-0.927225269333488,False,5-Day,Newey-West(5)17implied_skewness,-0.004685263679195305,0.00034308868527516096,-13.656129975366781,True,5-Day,Newey-West(5)18implied_kurtosis_proxy,0.006342337908904521,0.00024733718565062436,25.6424762504712,True,5-Day,Newey-West(5)19pc_volume_ratio,-0.0021326351951543566,0.00012777310920573273,-16.690798309685906,True,5-Day,Newey-West(5)20pc_oi_ratio,0.002634042353104671,0.00020078707992520257,13.118584891447734,True,5-Day,Newey-West(5)21net_gamma_exposure,0.0030205764876359066,0.00016940745025374946,17.830245854662774,True,5-Day,Newey-West(5)22rv_daily,-0.005554035996188909,0.00031078475930153846,-17.871005028274613,True,5-Day,Newey-West(5)23rv_w,0.00348308295756233,0.00043804408916016125,7.951443801559474,True,5-Day,Newey-West(5)24