A0871
Title: Exogenous and endogenous market effects: Model based change-point detection
Authors: Matus Maciak - Charles University (Czech Republic) [presenting]
Abstract: Various options market turmoil are analyzed over time using artificial interpolated volatilities carefully constructed in order to distinguish between exogenous and endogenous market effects. A panel data quantile regression model is further applied to detect significant change points occurring in the options market behavior. Some necessary statistical theories are discussed together with computational and algorithmic details. Finite sample performance is assessed using empirical comparisons, together with a real data illustration.
