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Intraday futures volatility and theories of market behavior

Daigler, Robert T. - In: The journal of futures markets 17 (1997) 1, pp. 45-74

Persistent link: https://www.econbiz.de/10001216344

Futures bibliography

Daigler, Robert T. (contributor) - In: The journal of futures markets (1995)

Persistent link: https://www.econbiz.de/10001273439

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

Persistence of volatility in futures markets

Chen, Zhiyao; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 26 (2006) 6, pp. 571-594

Persistent link: https://www.econbiz.de/10003319540

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

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

The Implied Convexity of VIX Futures

Daigler, Robert T. - 2019

An important component of theoretical CBOE Volatility Index (VIX) futures prices is a term correcting for the negative convexity of the square root function by subtracting from the forward-starting variance swap rate an estimate of the future volatility of VIX futures prices. In the same fashion...

Persistent link: https://www.econbiz.de/10012890244