The Rise and Fall of S&P500 Variance Futures
Year of publication: |
2011-11-01
|
---|---|
Authors: | Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Amaral, Teodosio Pérez |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Risk management | financial derivatives | futures | options | swaps | 3-month variance futures | 12-month variance futures | risk exposure | volatility |
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