Implicit quantiles and expectiles

DOI10.1007/S10479-021-04054-8zbMath1494.91152OpenAlexW3149500060MaRDI QIDQ2151639

Carlo Sala, Edit Rroji, Fabio Bellini

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04054-8

zbMATH Keywords

forecastingquantilesrisk managementexpectilesrisk-neutral distributionweekly options

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• ARESLab

Cites Work

• Unnamed Item
• Asymmetric Least Squares Estimation and Testing
• Stochastic finance. An introduction in discrete time.
• Multivariate adaptive regression splines
• Expectiles, omega ratios and stochastic ordering
• Cutting the hedge
• Implicit expectiles and measures of implied volatility
• On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
• Existence of an Equilibrium for a Competitive Economy

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