Do liquidity and sampling methods matter in constructing volatility indices? : empirical evidence from Taiwan
Shyh-Weir Tzang; Chih-Hsing Hung; Chou-Wen Wang; David So-De Shyu
| Year of publication: |
2011
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|---|---|
| Authors: | Tzang, Shyh-weir ; Hung, Chih-hsing ; Wang, Chou-wen ; Shyu, David So-de |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 20.2011, 2, p. 312-324
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| Subject: | VIX | VXO | Sampling method | Rollover rules | Implied volatility | Index options | Taiwan Stock Exchange Index (TAIEX) options | Taiwan | Volatilität | Volatility | Stichprobenerhebung | Sampling | Optionsgeschäft | Option trading | Index-Futures | Index futures | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009304121