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Tail risk aversion and backwardation of index futures - MaRDI portal

Tail risk aversion and backwardation of index futures

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Publication:6576882

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DOI10.1080/14697688.2024.2330612zbMath1542.91398MaRDI QIDQ6576882

Jufang Liang, Dan Yang, Unnamed Author

Publication date: 23 July 2024

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

Mathematics Subject Classification ID

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

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