Tail risk aversion and backwardation of index futures
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DOI: 10.1080/14697688.2024.2330612
Abstract: We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futures during the 2015… read more here.
Keywords: index futures; risk; backwardation; tail risk ... See more keywords