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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2021
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| Materias: | |
| 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 |