The impact of COVID-19 on tail risk: Evidence from Nifty index options

We investigate the impact of COVID-19 using multiple forward-looking measures of uncertainty in Indian stock markets using liquid Nifty index options. The WHO declaration of COVID-19 as a pandemic coincides with a sharp rise in all measures of uncertainty considered, including option-implied volatil...

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Detalles Bibliográficos
Autores principales: Agarwalla, Sobhesh Kumar, Varma, Jayanth R., Virmani, Vineet
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9755537/
https://www.ncbi.nlm.nih.gov/pubmed/36540549
http://dx.doi.org/10.1016/j.econlet.2021.109878

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9755537/
https://www.ncbi.nlm.nih.gov/pubmed/36540549
http://dx.doi.org/10.1016/j.econlet.2021.109878

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