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%
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Makefile 0.8%
1ticker,target,mse_har,mse_har_iv,mse_improvement_pct,dm_statistic,dm_significant_5pct2AAPL,1-Day RV,1.7950043241009343e-07,1.6098906658129432e-07,10.312713780269535,2.5430368095648705,True3ADBE,1-Day RV,5.0580415716854e-07,5.113743147230092e-07,-1.1012478793473333,-0.3070480944289019,False4AMD,1-Day RV,6.382801960919755e-07,5.635915584653417e-07,11.70154394322949,3.128996219564092,True5AMZN,1-Day RV,4.18787981858695e-07,3.9416193831898606e-07,5.880312856737638,0.2623425547306376,False6BA,1-Day RV,3.3021759735206715e-07,4.5906911839460536e-07,-39.020186106302795,-6.393673579939354,True7BAC,1-Day RV,1.262583125268149e-07,1.2544601895937938e-07,0.6433584856149621,0.056823404052450156,False8CAT,1-Day RV,3.3984981393802655e-07,2.2865488041076957e-07,32.71884490351199,4.265490241030385,True9COST,1-Day RV,5.3490853258687894e-08,4.0459715223583066e-08,24.361432359444244,2.9356654663276274,True10CRM,1-Day RV,4.419190919691863e-07,4.0221932089177135e-07,8.983493087052025,1.611933472504344,False11CSCO,1-Day RV,1.597641169260778e-07,2.147281038401949e-07,-34.40321141670925,-3.7655435756176963,True12AAPL,5-Day RV,6.932414484979054e-07,6.662165548668995e-07,3.8983378286977364,1.6977469113853043,False13ADBE,5-Day RV,1.3473370106673582e-06,1.3406643512878357e-06,0.4952479837407169,0.18932941274101325,False14AMD,5-Day RV,2.4977672031108e-06,2.354382114882187e-06,5.740530504605745,1.676823780518025,False15AMZN,5-Day RV,1.4805343348789202e-06,1.838307752978227e-06,-24.16515508426664,-7.506642917459933,True16BA,5-Day RV,8.837292833948637e-07,1.1298098649006916e-06,-27.845697333973636,-5.064795983807893,True17BAC,5-Day RV,2.9663685327167365e-07,3.014497204224349e-07,-1.6224778201626229,-0.44173668015957357,False18CAT,5-Day RV,9.781952519109973e-07,9.976767482154728e-07,-1.9915754310212155,-0.33515314685794323,False19COST,5-Day RV,1.19091179632095e-07,1.0552693312305664e-07,11.389799438499146,2.3181752890324865,True20CRM,5-Day RV,9.623117337437025e-07,1.0087392939978598e-06,-4.82458631918984,-1.884617805428785,False21CSCO,5-Day RV,3.5611192586989074e-07,4.028011471819401e-07,-13.110827782023721,-2.535627132268582,True22