Format:
36 S.
,
graph. Darst.
,
b
ISBN:
3935821743
Series Statement:
Discussion paper / Deutsche Bundesbank 17/2003
Content:
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and accurate data set. We have two main results. First, we have recorded strong negative skewness in the densities. Second, we find evidence for significant differences between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX.
Note:
Zsfassung in dt. Sprache
,
Literaturverz. S. 28 - 29
Additional Edition:
Erscheint auch als Online-Ausgabe Craig, Ben R. The forecasting performance of German stock option densities Frankfurt am Main : Deutsche Bundesbank, 2003
Language:
English
Subjects:
Economics
Keywords:
Deutscher Aktienindex
;
Indexoption
;
Optionspreis
;
Volatilität
;
Stochastisches Modell
;
Arbeitspapier
;
Graue Literatur
Author information:
Craig, Ben R.
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