Tail risk aversion and backwardation of index futures

DOI10.1080/14697688.2024.2330612MaRDI QIDQ6576882zbMATH OpenFDO

Authors Jufang Liang, Dan Yang

Publication date 23 July 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• The market for crash risk
• VAR for VaR: measuring tail dependence using multivariate regression quantiles

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