Time-varying crash risk embedded in index options : the role of stock market liquidity
Peter Christoffersen, Bruno Feunou, Yoontae Jeon, and Chayawat Ornthanalai
| Year of publication: |
2021
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|---|---|
| Authors: | Christoffersen, Peter F. ; Feunou, Bruno ; Jeon, Yoontae ; Ornthanalai, Chayawat |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 25.2021, 4, p. 1261-1298
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| Subject: | Option-implied crash risk | Market liquidity | Jump intensity | Filtering | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | Marktliquidität | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Risiko | Risk | Liquidität | Liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfaa040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012594641