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Explaining the negative returns to volatility claims : an equilibrium approach
Eraker, Bjørn; Wu, Yue - In: Journal of financial economics 125 (2017) 1, pp. 72-98
Persistent link: https://www.econbiz.de/10011751609
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Do government rescue policies reduce the market volatility after crash? : evidence from the Shanghai stock market
Yang, Ming-Yuan; Li, Sai-Ping; Wu, Yue; Tang, Jingtai; … - In: Finance research letters 29 (2019), pp. 117-124
Persistent link: https://www.econbiz.de/10012417968
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Explaining the Negative Returns to VIX Futures and ETNs : An Equilibrium Approach
Eraker, Bjorn - 2014
We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period...
Persistent link: https://www.econbiz.de/10013062522
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Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000
Persistent link: https://www.econbiz.de/10001508715
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Money velocity with interest rate stochastic volatility and exact aggregation
Barnett, William A.; Xu, Haiyang - 1995
Persistent link: https://www.econbiz.de/10000933224
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Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A. - 1996
Persistent link: https://www.econbiz.de/10001328762
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Stochastic volatility in interest rates and complex dynamics in velocity
Barnett, William A.; Xu, Haiyang - In: Commerce, complexity, and evolution : topics in …, (pp. 147-171). 2000
Persistent link: https://www.econbiz.de/10001556430
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Money velocity with interest rate stochastic volatility and exact aggregation
Barnett, William A.; Xu, Haiyang - 2012
Persistent link: https://www.econbiz.de/10009732504