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A forecasting analysis of risk‐neutral equity and Treasury volatilities

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dc.contributor.authorGonzález Urteaga, Ana
dc.contributor.authorNieto, Belénes_ES
dc.contributor.authorRubio Irigoyen, Gonzaloes_ES
dc.contributor.departmentGestión de Empresases_ES
dc.contributor.departmentEnpresen Kudeaketaeu
dc.contributor.funderUniversidad Pública de Navarra / Nafarroako Unibertsitate Publikoaes
dc.date.accessioned2019-09-06T07:51:17Z
dc.date.available2021-03-08T00:00:09Z
dc.date.issued2019
dc.description.abstractThis paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk factors. The in‐sample evidence suggests that the square of VIX tends to dominate the square of MOVE. Out‐of‐sample predictive analysis, performed as a horse race between equity and Treasury risk‐neutral volatilities, shows that, contrary to earlier results, the square of VIX and MOVE tend to complement each other.en
dc.description.sponsorshipGeneralitat Valenciana, Grant/Award Number: Prometeo/2017/158; UPNA Research Grant for Young Researchers, Edition 2018, Grant/Award Number: UPNA 2018; Bank of Spain, Grant/Award Number: 2016‐18; Ministry of Economics and Competitiveness, Grant/Award Numbers: ECO2015‐67035‐P and ECO2016‐77631‐R.en
dc.embargo.lift2021-03-08
dc.embargo.terms2021-03-08
dc.format.extent39 p.
dc.format.mimetypeapplication/pdfen
dc.identifier.doi10.1002/for.2591
dc.identifier.issn1099-131X (Electronic)
dc.identifier.urihttps://academica-e.unavarra.es/handle/2454/34731
dc.language.isoengen
dc.publisherWileyen
dc.relation.ispartofJournal of Forecasting, 2019, 1-18en
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2015-67035-P/ES/en
dc.relation.projectIDinfo:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-Ren
dc.relation.publisherversionhttps://doi.org/10.1002/for.2591
dc.rights© 2019 John Wiley & Sons, Ltd.en
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.subjectForecasting real activityen
dc.subjectPredictability of asset returnsen
dc.subjectRisk‐neutral equity volatilityen
dc.subjectRisk‐neutral treasury volatilityen
dc.titleA forecasting analysis of risk‐neutral equity and Treasury volatilitiesen
dc.typeinfo:eu-repo/semantics/articleen
dc.typeArtículo / Artikuluaes
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen
dc.type.versionVersión aceptada / Onetsi den bertsioaes
dspace.entity.typePublication
relation.isAuthorOfPublication095d724d-61c5-408c-b091-6ea37e9beb6b
relation.isAuthorOfPublication.latestForDiscovery095d724d-61c5-408c-b091-6ea37e9beb6b

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