On the Effectiveness of Stock Index Futures for Tail Risk Protection
This paper examines the effectiveness of using stock index futures contracts as substitutes for fixed-income securities in implementing expected shortfall targeting strategy. We find that the futures-based implementation outperforms its index-and-bill counterpart both in terms of downside protectio...
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| Format: | Article |
| Language: | English |
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EconJournals
2022-05-01
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| Series: | International Journal of Economics and Financial Issues |
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| Online Access: | https://econjournals.com/index.php/ijefi/article/view/13011 |