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1
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ECONIS (ZBW)
31
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1
Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs
Hurwitz, Catalina I.
;
Mishra, Suchismita
;
Daigler, Robert T.
- In:
Algorithmic finance
9
(
2022
)
3/4
,
pp. 63-79
Persistent link: https://www.econbiz.de/10013459963
Saved in:
2
Volume weighted volatility : empirical evidence for a new realised volatility measure
Padungsaksawasdi, Chaiyuth
;
Daigler, Robert T.
- In:
International journal of banking, accounting and finance
9
(
2018
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10011955195
Saved in:
3
Exchange traded funds : leverage and liquidity
March-Dallas, Samique
;
Daigler, Robert T.
;
Mishra, Suchi
; …
- In:
Applied economics
50
(
2018
)
37
,
pp. 4054-4073
Persistent link: https://www.econbiz.de/10012060690
Saved in:
4
Expanding the explanations for the return-volatility relation
Talukdar, Bakhtear
;
Daigler, Robert T.
;
Parhizgari, Ali M.
- In:
The journal of futures markets
37
(
2017
)
7
,
pp. 689-716
Persistent link: https://www.econbiz.de/10011950866
Saved in:
5
Spicing up a portfolio with commodity futures : still a good recipe?
Daigler, Robert T.
;
Dupoyet, Brice
;
You, Leyuan
- In:
The journal of alternative investments
19
(
2017
)
4
,
pp. 8-23
Persistent link: https://www.econbiz.de/10011673671
Saved in:
6
Price discovery and liquidity characteristics for U.S. electronic futures and ETF markets
Oztekin, A. Senol
;
Mishra, Suchismita
;
Jain, Pankaj K.
; …
- In:
The journal of trading
12
(
2017
)
2
,
pp. 59-72
Persistent link: https://www.econbiz.de/10011699636
Saved in:
7
The implied convexity of VIX futures
Daigler, Robert T.
;
Dupoyet, Brice
;
Patterson, Fernando M.
- In:
The journal of derivatives : the official publication …
23
(
2016
)
3
,
pp. 73-90
Persistent link: https://www.econbiz.de/10011687233
Saved in:
8
The effect of high-frequency market making on option market liquidity
Mishra, Suchi
;
Daigler, Robert T.
;
Holowczak, Richard
- In:
The journal of trading
11
(
2016
)
4
,
pp. 56-76
Persistent link: https://www.econbiz.de/10011697653
Saved in:
9
Depth characteristics for the electronic futures limit order book
Aidov, Alexandre
;
Daigler, Robert T.
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 542-560
Persistent link: https://www.econbiz.de/10011405409
Saved in:
10
The abnormal psychology of investment performance
Patterson, Fernando M.
;
Daigler, Robert T.
- In:
Review of financial economics : RFE
23
(
2014
)
2
,
pp. 55-63
Persistent link: https://www.econbiz.de/10010442607
Saved in:
11
The return-implied volatility relation for commodity ETFs
Padungsaksawasdi, Chaiyuth
;
Daigler, Robert T.
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 261-281
Persistent link: https://www.econbiz.de/10010355434
Saved in:
12
Intraday trading and bid-ask spread characteristics for SPX and SPY options
Mishra, Suchismita
;
Daigler, Robert T.
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 70-84
Persistent link: https://www.econbiz.de/10010387685
Saved in:
13
Examining the return-volatility relation for foreign exchange : evidence from the euro VIX
Daigler, Robert T.
;
Hibbert, Ann Marie
;
Pavlova, Ivelina
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 74-92
Persistent link: https://www.econbiz.de/10010254956
Saved in:
14
A filtering process to remove the stochastic component from intraday seasonal volatility
Cho, Jang Hyung
;
Daigler, Robert T.
- In:
The journal of futures markets
34
(
2014
)
5
,
pp. 479-495
Persistent link: https://www.econbiz.de/10010370879
Saved in:
15
A Markowitz optimization of commodity futures portfolios
You, Leyuan
;
Daigler, Robert T.
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10009725617
Saved in:
16
A simplified pricing model for volatility futures
Dupoyet, Brice
;
Daigler, Robert T.
;
Chen, Zhiyao
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
Saved in:
17
The performance of VIX option pricing models : empirical evidence beyond simulation
Wang, Zhiguang
;
Daigler, Robert T.
- In:
The journal of futures markets
31
(
2011
)
3
,
pp. 251-281
Persistent link: https://www.econbiz.de/10008908399
Saved in:
18
Derivatives pricing and liquidity dominance alternative trading venues
Cho, Jang Hyung
;
Daigler, Robert T.
- In:
Journal of derivatives & hedge funds
17
(
2011
)
3
,
pp. 198-218
Persistent link: https://www.econbiz.de/10009385298
Saved in:
19
Using four-moment tail risk to examine financial and commodity instrument diversification
You, Leyuan
;
Daigler, Robert T.
- In:
The financial review : the official publication of the …
45
(
2010
)
4
,
pp. 1101-1123
Persistent link: https://www.econbiz.de/10008698942
Saved in:
20
The strength and source of asymmetric international diversification
You, Leyuan
;
Daigler, Robert T.
- In:
Journal of economics and finance
34
(
2010
)
3
,
pp. 349-364
Persistent link: https://www.econbiz.de/10008990253
Saved in:
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