Carry gap in U.S. equity option put-call parity correlates with low-frequency global asset returns, indicating reduced-form alignment between risk-neutral and physical measures.
Board of Governors of the Federal Reserve System (US), Nominal Broad U.S
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Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals
Carry gap in U.S. equity option put-call parity correlates with low-frequency global asset returns, indicating reduced-form alignment between risk-neutral and physical measures.