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Is Risk-Neutral Skewness an Indicator of Jump Risk? Evidence from Tail Risk-Taking of Hedge Funds
Is Risk-Neutral Skewness an Indicator of Jump Risk? Evidence from Tail Risk-Taking of Hedge Funds
2020
Thorsten Lehnert
Keywords:
Hedge fund
Econometrics
Tail risk
Jump
Economics
Skewness
Risk neutral
Correction
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