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SSRNDerivatives & Volatility

LeftTail Risk Predicts Stock Volatility

The paper shows that stock crash risk can significantly predict future volatility of the SP 500 index, providing unique predictive insights separate from macroeconomic variables.

Featured in No. 80 on 1 Jan 2025 · 1 day after release

Released
31 Dec 2024
First featured
No. 80 · 1 Jan 2025
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 5078170

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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