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Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help?

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Abstract
Stock market gyrations are notoriously hard to predict, and not for lack of effort by legions of investors, market commentators and academics. In this article, we investigate whether efforts to forecast stock market crashes, in particular, can be aided by using information embedded in options prices.

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  • Eric Engstrom, 2014. "Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help?," FEDS Notes 2014-05-07, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2014-05-07
    DOI: 10.17016/2380-7172.0017
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    File URL: https://www.federalreserve.gov/econresdata/notes/feds-notes/2014/forecasting-stock-market-crashes-is-hard-especially-future-ones-20140507.html
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    Cited by:

    1. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.

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