Real-time forward-looking skewness over the business cycle
This paper measures option-implied skewness for individual firms and the S&P 500 index between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micr...
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Published in | Review of economic dynamics Vol. 54; p. 101233 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Elsevier Inc
01.10.2024
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Online Access | Get full text |
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