The Price of Downside and Upside Correlation Risk: cross-sectional evidence
New metrics of downside and upside aggregate implied correlation from options reveal that downside correlation risk has a significant negative premium, suggesting investors require a hedge against correlation spikes.
Featured in No. 47 on 1 May 2024 · 1 day after release · 0 citations today
- Released
- 30 Apr 2024
- First featured
- No. 47 · 1 May 2024
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- SSRN 4811802
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