Ammann, Manuel; Moerke, Mathis; Prokopczuk, Marcel; … - 2022
findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables … exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail … risk. Additionally, we find strong links to the equity markets, but also co-movements to macroeconomic factors. Left or …
