Statistics of VIX futures and their applications to trading volatility exchange-traded products
Marco Avellaneda and Andrew Papanicolaou
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Avellaneda, Marco ; Papanicolaou, Andrew |
| Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 7.2018, 2, p. 1-32
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| Subject: | volatility index (VIX) | Chicago Board Options Exchange (CBOE) volatility index (VIX) futures | exchange-traded funds (ETFs) | term structure | iPath Standard & Poor's 500 volatility index short-term futures exchange-traded fund (VXX) | roll-yield | Volatilität | Volatility | Indexderivat | Index derivative | Index-Futures | Index futures | Derivat | Derivative | Aktienindex | Stock index | Index | Index number | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOIS.2017.095 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011880127