2026-09-21T16:55:50Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/121995 2024-03-01 col_2142_5131 col_2142_16340 com_2142_5130 com_2142_16339 com_2142_8903

Linders, Daniel DeVille, Lee Sowers, Richard Verdickt, Gertjan 2023-12 application/pdf en text Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2024-03-01 without embargo terms The student, Yong Xie, accepted the attached license on 2023-11-17 at 00:05. The student, Yong Xie, submitted this Dissertation for approval on 2023-11-17 at 00:07. This Dissertation was approved for publication on 2023-11-20 at 16:13. DSpace SAF Submission Ingestion Package generated from Vireo submission #19946 on 2024-03-01 at 13:14:45 Nonlinear dependence and its application in finance Xie, Yong Nonlinear Dependence Asset Pricing Implied Information Risk Forecasting Implied Correlation Ncertainty Risk 2023-11-20 We explore the implication of nonlinear dependence in the asset pricing theories and risk analytics. Using the Model-Free Implied Dependence (MFID), a measure that exhibits information on linear and nonlinear dependence within the market, we show that stocks with high exposure to MFID generate significantly higher risk-adjusted returns in bad times, which is consistent with time-varying preferences, implying increased demand for assets that offer a hedge in bad times. This finding is robust against other risk common risk factors including implied correlation. Besides, we propose Implied Correlation Gap (ICG) on the top of model-free implied dependence and implied correlation. We demonstrate that ICG is capable of revealing the inadequacy of implied correlation and proxies the degree of nonlinear dependence in the market. More importantly, we document that ICG exhibits incremental predictive power for market uncertainty risks. Our results imply that such predictability is bridged by the investor disagreement. Text eng https://hdl.handle.net/2142/121995 Copyright 2023 Yong Xie Ph.D. Dissertation Mathematics University of Illinois at Urbana-Champaign Mathematics