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Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks

Alomari, Mohammed; Selmi, Refk; Mensi, Walid; Ko, Hee-Un; … - In: The quarterly review of economics and finance 93 (2024), pp. 210-228

Persistent link: https://www.econbiz.de/10014494645

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

Chen, Hui - 2019

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets …

Persistent link: https://www.econbiz.de/10012905688

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

Chen, Hui - 2019

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

Persistent link: https://www.econbiz.de/10012891794