---
title: Option-Implied Kurtosis
url: https://www.ml-quant.com/papers/repec/eee-pacfin-v-84-y-2024-i-c-s0927538x24000374/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0927538X24000374%3Bh%3Drepec%3Aeee%3Apacfin%3Av%3A84%3Ay%3A2024%3Ai%3Ac%3As0927538x24000374
featured: 2024-04-17
citations: unknown
topic: Derivatives & Volatility
---


# Option-Implied Kurtosis

The research concludes that including risk-neutral volatility skewness and kurtosis in forecasting models does not improve their predictive power and may even lead to less accurate predictions.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0927538X24000374%3Bh%3Drepec%3Aeee%3Apacfin%3Av%3A84%3Ay%3A2024%3Ai%3Ac%3As0927538x24000374
- Identifier: RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374
- Released: 2024-04-17
- First featured: Quant Letter No. 45 (2024-04-17): https://www.ml-quant.com/issues/2024-04-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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