On the Effectiveness of Stock Index Futures for Tail Risk Protection
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More about this item
Keywords
Stock Index Futures; Tail Risk Protection; Target Risk Strategies; Value-at-Risk; Expected Shortfall; Extreme Value Theory;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
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