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%
1winsorization,r2,adj_r2,n_obs,t_implied_kurtosis,t_pc_volume_ratio,t_implied_skewness,n_significant_5pct2None,0.03350735718101783,0.03342618705900402,119081,13.755824294668269,-3.590348792573864,-8.583183654871487,830.5%,0.051039572284505286,0.05095987459174334,119081,36.507085316444645,-21.310130926199722,-17.941997876961818,1041% (baseline),0.05291603110227727,0.05283649100242871,119081,40.06677941685727,-21.48293852968104,-19.737131592896397,952.5%,0.05770036766996445,0.057621229378847505,119081,43.66170335444888,-21.32166406183641,-20.042069653438933,965%,0.06191784066911932,0.06183905657914435,119081,45.73023608159133,-20.855308567174866,-18.97219097816346,97