Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
Year of publication: |
January 2016
|
---|---|
Authors: | Tu, Anthony H. ; Hsieh, Wen-Liang G. ; Wu, Wei-Shao |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 35.2016, p. 78-98
|
Subject: | Index arbitrage | Expected volatility | Futures mispricing | VIX | Quantile regressions | Volatilität | Volatility | Index-Futures | Index futures | Arbitrage | Aktienindex | Stock index | Börsenkurs | Share price | Erwartungsbildung | Expectation formation |
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