Implicit quantiles and expectiles

We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality...

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Bibliographic Details
Published in:Annals of operations research 2022-06, Vol.313 (2), p.733-753
Main Authors: Bellini, Fabio, Rroji, Edit, Sala, Carlo
Format: Article
Language:English
Subjects:
Business and Management
Combinatorics
Datasets
Forecasting
Futures market
Methods
Operations research
Operations Research/Decision Theory
Quantiles
Random variables
Risk management
Risk premiums
S.I. : Risk Management Decisions and Value under Uncertainty
Securities prices
Stock markets
Theory of Computation
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Summary:We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5-year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option-implied interquantile and interexpectile differences, that are compared with a weekly VIX-like index. In terms of forecasting power we investigate how different quantities related to the implicit quantile and expectile curves predict future logreturns and future realized variances.
ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-021-04054-8