Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* (Q5157709)
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scientific article; zbMATH DE number 7411456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* |
scientific article; zbMATH DE number 7411456 |
Statements
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* (English)
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19 October 2021
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option-implied crash risk
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market liquidity
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jump intensity
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filtering
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