The tail risk safe haven property of China's energy futures against US market implied volatility

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...

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Bibliographic Details
Main Authors: Xingyu Dai, Peng-Fei Dai, Qunwei Wang, Zhi-Yi Ouyang
Format: Article
Language:English
Published: KeAi Communications Co., Ltd. 2024-06-01
Series:Journal of Management Science and Engineering
Subjects:
China's energy futures
Safe haven
Implied volatility
Multi-timescale analysis
Cross-quantilogram model
Online Access:http://www.sciencedirect.com/science/article/pii/S2096232024000155

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