Tail risk aversion and backwardation of index futures-Reference-Cited by-同舟云学术

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Tail risk aversion and backwardation of index futures

Published:2024-04-02 Issue:3-4 Volume:24 Page:387-407
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Liang Jufang¹^ORCID,Yang Dan¹,Han Qian²

Affiliation:

1. School of Finance and Statistics, Hunan University, 109 Shijiachong Road, Yuelu District, Changsha, Hunan 410079, People's Republic of China

2. Lingnan College, Sun Yat-Sen University, 135 Xingang Xi Road, Haizhu District, Guangzhou, Guangdong 510275, People's Republic of China

Funder

Natural Science Foundation of China

Humanities and Social Science Fund of Ministry of Education of China

Natural Science Foundation of Hunan Province, China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2330612

Reference29 articles.

1. Limits to arbitrage and hedging: Evidence from commodity markets

2. To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash?

3. The market for crash risk

4. Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

5. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

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