The tail risk safe haven property of China's energy futures against US market implied volatility
This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a safe haven. Leveraging CEF characteristics to simultaneously take both long-/short-positions and engage in long...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
KeAi Communications Co., Ltd.
2024-06-01
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Series: | Journal of Management Science and Engineering |
Subjects: | |
Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232024000155 |