We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory', and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying...

This study investigates whether economic policy uncertainty (EPU) affects the degree of Bitcoin dependency in the crypto market by calculating the Pearson correlation between Bitcoin return and the average return of 19 cryptocurrencies to determine the return dependency. The results indicate...