SPB Git

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%
843 B · 11 lines csv
Raw Blame History
1q1,q2,mean,std,count,mean_bps,t_stat21,1,0.0008151427739457642,0.033377056486195406,6957,8.151427739457642,2.03702636914111831,2,0.002411837974402523,0.02828823263093608,16889,24.11837974402523,11.08011535585301241,3,0.0035903372888018057,0.025505804176619695,31471,35.903372888018055,24.97189499522573252,1,0.0022108846597390075,0.03996305608120129,13706,22.108846597390077,6.47683387008308162,2,0.0023802914524478276,0.034764369060130494,21968,23.802914524478275,10.14824737865128272,3,0.0015624032033988058,0.03486427973013344,16925,15.624032033988058,5.83011017507523383,1,0.004176092660489417,0.059249718842900936,34653,41.760926604894166,13.12061680373369193,2,0.00027228795074543384,0.04917731278237744,13741,2.7228795074543384,0.6490419974337353103,3,-0.004782166489784315,0.05613027265750696,5247,-47.82166489784315,-6.17139113232618411