The daily rise and fall of the VIX1D : causes and solutions of its overnight bias
Stefan Albers, Lars N. Kestner
| Year of publication: |
2024
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|---|---|
| Authors: | Albers, Stefan ; Kestner, Lars N. |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 62.2024, 1, Art.-No. 105186, p. 1-10
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| Subject: | Day-of-the-week effect | Implied volatility | Intraday pattern | Overnight bias | VIX1D | Volatilität | Volatility | Kalendereffekt | Calendar effect | Systematischer Fehler | Bias | Geldmarkt | Money market | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014530970