Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291
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...
