Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 16, 2017 erstellt
Description:
This paper analyzes the forecasting ability of option-implied Risk-Neutral densities (RNDs) for three US indexes, S&P 500, Nasdaq 100 and Russell 2000 and for a long series (from 1996 to 2015) encompassing two major crisis. Traditional tests rely on restrictive assumptions (mainly normality and independence). In order to overcome these assumptions, we calculate block-bootstrap-based critical values. Different to existent literature, our results conclude failure to reject their forecasting ability, being these results consistent across different forecast horizons, methodologies and indexes considered. We also analyze the fit of the tails of the RNDs separately, finding that they tend to overestimate the frequency of occurrence of events in the left tail, providing a good fitting for the right tail