Tail risk aversion and backwardation of index futures

DOI10.1080/14697688.2024.2330612zbMATH Open1542.91398MaRDI QIDQ6576882FDOQ6576882

Authors: Jufang Liang, Dan Yang 

Publication date: 23 July 2024

Published in: Quantitative Finance (Search for Journal in Brave)

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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)

Cites Work

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

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