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Does Unexpected Change in Climate Risk Concerns Affect IV Surface Dynamics? A VAR Approach Using the UMC Index
Shihao Tong
September 2025
PDF
Type
Thesis
Publication
MSc thesis, HEC Montréal
Supervised by David Ardia.
Climate
Asset pricing
Related
When social risks matter: Retail fund flows and social concern
Examining the Relation Between Stocks' Option-Implied Moments and Climate Change Concerns
Climate change concerns and the performance of green versus brown stocks
Factor exposure heterogeneity in green and brown stocks
How easy is it for investment managers to deploy their talent in green and brown stocks?
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