Forecasting with Option-Implied Information

By Peter F. Christoffersen, Kris Jacobs, B. Chang. 2012

88 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cddf9f87fcd41941346ced96fbd8264ad3b20341

Citations in the corpus

• Carbon Tail Risk (2020, unknown): “Option prices subsume expectations about investment opportunities (Vanden 2008), and option-based variables work well in predicting future assets price dynamics (e.g., Christoffersen, Jacobs, and Chang 2013).”