Equity market spillovers in the Americas

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dc.contributor.authorDiebold, Francis X., 1959-
dc.contributor.authorYilmaz, Kamil
dc.date.accessioned2019-11-01T00:05:02Z
dc.date.available2019-11-01T00:05:02Z
dc.date.issued2010
dc.descriptionMany aspects of financial markets merit monitoring in risk management and portfolio allocation contexts, including (and perhaps especially) in contexts of interest to central banks. Much recent attention, for example, has been devoted to measuring and forecasting return volatilities and correlations, as in the case of market-based implied volatilities. One can extend the market-based approach by monitoring not implied volatility extracted from a single option, but rather entire risk-neutral densities extracted from sets of options with different strike prices (Gray and Malone, 2008). This is consistent with the density forecasting perspective on risk measurement advocated by Diebold, Gunther, and Tay (1998) and several of the references therein.
dc.file.nameBCCh-sbc-v15-p199_214
dc.format.pdf
dc.format.extentSección o Parte de un Documento
dc.format.mediump. 199-214
dc.identifier.isbn978-956-7421-34-3
dc.identifier.urihttps://hdl.handle.net/20.500.12580/3762
dc.language.isoeng
dc.publisherBanco Central de Chile
dc.relation.ispartofSeries on Central Banking, Analysis, and Economic Policies, no. 15
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/*
dc.subjectMERCADO FINANCIEROes_ES
dc.subjectBANCOS CENTRALESes_ES
dc.titleEquity market spillovers in the Americas
dc.type.docArtículo

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