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UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.

researchfinanceoptionsvolatilityuqo
Python 66.5% TeX 32.7% Makefile 0.8%
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_bootstrap.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
01_extract_data.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
02_rq1_return_predictability.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
03_rq2_rv_forecasting.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
04_rq3_correlation_divergence.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
05_rq4_greeks_decay_magnets.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
06_rq5_ml_rv_forecast.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
07_descriptive_stats.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
08_subperiod_regime.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
09_portfolio_sorts.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
10_robustness.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
11_granger_var.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
12_make_figures.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago
13_extended_robustness.py WP7: restructured repository, verified reproduction, paper revision... 5 days ago