Forecasting the mean and volatility of stock returns from option prices

Forecasting approaches are used to predict future values of certain variables such as market demands, prices, supplies, weather temperatures, economic factors, social factors, medica related factors, population, productivity, quality, and reliability of systems. While it is almost impossible to determine the exact future values of a given variable, it is possible to estimate its value with some level of precision using a proper forecasting method.

[1]  Salvatore Greco,et al.  Ordinal regression revisited: Multiple criteria ranking using a set of additive value functions , 2008, Eur. J. Oper. Res..

[2]  Subhash C. Narula,et al.  Multiple criteria linear regression , 2007, Eur. J. Oper. Res..

[3]  Charles C. Holt,et al.  Author's retrospective on ‘Forecasting seasonals and trends by exponentially weighted moving averages’ , 2004 .

[4]  Lucien Duckstein,et al.  Multiobjective fuzzy regression with central tendency and possibilistic properties , 2002, Fuzzy Sets Syst..

[5]  An-Sing Chen,et al.  Using investment portfolio return to combine forecasts: A multiobjective approach , 2001, Eur. J. Oper. Res..

[6]  Lucien Duckstein,et al.  Multi-objective fuzzy regression: a general framework , 2000, Comput. Oper. Res..

[7]  Richard F. Gunst,et al.  Applied Regression Analysis , 1999, Technometrics.

[8]  Douglas C. Montgomery,et al.  Forecasting and Time Series Analysis (2nd ed.). , 1992 .

[9]  Masatoshi Sakawa,et al.  Multiobjective fuzzy linear regression analysis and its application , 1990 .

[10]  Abraham Charnes,et al.  Least squares/ridge regression and goal programming/constrained regression alternatives , 1986 .

[11]  J. Scott Armstrong,et al.  Forecasting by Extrapolation: Conclusions from Twenty-five Years of Research , 1984 .

[12]  R. L. Winkler,et al.  Averages of Forecasts: Some Empirical Results , 1983 .

[13]  Gary R. Reeves,et al.  Combining multiple forecasts given multiple objectives , 1982 .

[14]  H. Russell Fogler,et al.  A Pattern Recognition Model for Forecasting , 1974 .

[15]  P. Young,et al.  Time series analysis, forecasting and control , 1972, IEEE Transactions on Automatic Control.

[16]  Norbert Wiener,et al.  Extrapolation, Interpolation, and Smoothing of Stationary Time Series , 1964 .

[17]  R. Brown.  Statistical forecasting for inventory control , 1960 .

[18]  Peter R. Winters,et al.  Forecasting Sales by Exponentially Weighted Moving Averages , 1960 .

[19]  Kenneth Levenberg.  A METHOD FOR THE SOLUTION OF CERTAIN NON – LINEAR PROBLEMS IN LEAST SQUARES , 1944 .

[20]  Elias Tzavalis,et al.  Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion , 2007, Math. Comput. Model..

[21]  M. Rockinger,et al.  Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion? , 2005 .

[22]  R. Bliss,et al.  Option-Implied Risk Aversion Estimates , 2004 .

[23]  S. Satchell,et al.  Forecasting Volatility in Financial Markets : A Review , 2004 .

[24]  David S. Bates.  Empirical option pricing: a retrospection , 2003 .

[25]  T. Bollerslev,et al.  Volatility puzzles: a unified framework for gauging return-volatility regressions , 2003 .

[26]  Daniel Giamouridis,et al.  Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach , 2002 .

[27]  Jeremy Berkowitz.  Testing Density Forecasts, With Applications to Risk Management , 2001 .

[28]  M. Rockinger,et al.  Gram–Charlier densities , 2001 .

[29]  Massimo Guidolin,et al.  Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities , 2001 .

[30]  Yacine Aït-Sahalia,et al.  Do option markets correctly price the probabilities of movement of the underlying asset , 2001 .

[31]  Jun Pan.  The Jump-Risk Premia Implicit in Options : Evidence from an Integrated Time-Series Study , 2001 .

[32]  D. Madan,et al.  Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options , 2000 .

[33]  A. Lo,et al.  Nonparametric Risk Management and Implied Risk Aversion , 2000 .

[34]  J. C. Sosa.  On the informational content of implied volatility , 2000 .

[35]  David S. Bates.  Post-'87 crash fears in the S&P 500 futures option market , 2000 .

[36]  N. Prabhala,et al.  The relation between implied and realized volatility , 1998 .

[37]  Anthony S. Tay,et al.  Evaluating Density Forecasts with Applications to Financial Risk Management , 1998 .

[38]  Jeff Fleming.  The quality of market volatility forecasts implied by S&P 100 index option prices , 1998 .

[39]  Andrew Ang,et al.  Regime Switches in Interest Rates , 1998 .

[40]  David S. Bates.  Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options , 1998 .

[41]  Tie Su,et al.  Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices , 1997 .

[42]  Gurdip Bakshi,et al.  Empirical Performance of Alternative Option Pricing Models , 1997 .

[43]  J. Jackwerth.  Recovering Risk Aversion from Option Prices and Realized Returns , 1998 .

[44]  Tie Su,et al.  SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES , 1996 .

[45]  K. West,et al.  Asymptotic Inference about Predictive Ability , 1996 .

[46]  Dilip B. Madan,et al.  CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS , 1994 .

[47]  A. W. Kemp,et al.  Kendall's Advanced Theory of Statistics. , 1994 .

[48]  Christopher G. Lamoureux,et al.  Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities , 1993 .

[49]  T. Day,et al.  Stock market volatility and the information content of stock index options , 1992 .

[50]  Lars Peter Hansen,et al.  Asset Pricing Explorations for Macroeconomics , 1992, NBER Macroeconomics Annual.

[51]  M. Kendall,et al.  Kendall's advanced theory of statistics , 1995 .

[52]  Richard J. Zeckhauser,et al.  Proper risk aversion , 1987 .

[53]  R. Mehra,et al.  THE EQUITY PREMIUM A Puzzle , 1985 .

[54]  Philip A. Horvath,et al.  On The Direction of Preference for Moments of Higher Order Than The Variance , 1980 .

[55]  R. Litzenberger,et al.  SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS , 1976 .

[56]  R. C. Merton,et al.  Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .