Time-dependent lead-lag relationships between the VIX and VIX futures markets
Year of publication: |
2020
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Authors: | Yang, Yan-Hong ; Shao, Ying-Hui |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 53.2020, p. 1-9
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Subject: | Lead-lag relationship | Symmetric thermal optimal path | VIX | VIX futures | Volatilität | Volatility | Börsenkurs | Share price | Derivat | Derivative | Futures |
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