Recovering Implied Volatility
提出一种估计资产和投资组合期权隐含前瞻性方差和协方差的方法，利用因子结构来捕捉系统性波动，实证表明该方法有助于预测跳跃和优化投资组合。
We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and covariances of assets. We implement the methodology empirically and show that our forward-looking moment estimates provide useful implications for the prediction of jumps and for portfolio choice. This paper was accepted by Gustavo Manso, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4653 .