Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs
Catalina I. Hurwitz, Suchismita Mishra, Robert T. Daigler and Ihsan Badshah
| Year of publication: |
2022
|
|---|---|
| Authors: | Hurwitz, Catalina I. ; Mishra, Suchismita ; Daigler, Robert T. ; Badshah, Ihsan Ullah |
| Published in: |
Algorithmic finance. - Amsterdam : IOS Press, ISSN 2158-5571, ZDB-ID 3099846-3. - Vol. 9.2022, 3/4, p. 63-79
|
| Subject: | VIX futures | VIX ETPs | price discovery | volatility | information leadership | information share | Volatilität | Volatility | Börsenkurs | Share price | Informationsverbreitung | Information dissemination |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/AF-200342 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013459963