The daily rise and fall of the VIX1D : causes and solutions of its overnight bias
Year of publication: |
2024
|
---|---|
Authors: | Albers, Stefan ; Kestner, Lars N. |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 62.2024, 1, Art.-No. 105186, p. 1-10
|
Subject: | Day-of-the-week effect | Implied volatility | Intraday pattern | Overnight bias | VIX1D | Volatilität | Volatility | Systematischer Fehler | Bias | Kalendereffekt | Calendar effect | Börsenkurs | Share price | Geldmarkt | Money market | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
-
Day-of-the-week effect of major currency pairs : new evidences from investors' fear gauge
Singh, Vipul Kumar, (2019)
-
The investor fear gauge index (VIX) : a case of Asia-Pacific securities market
Shaikh, Imlak, (2017)
-
The day-of-the-week anomaly in market returns, volume and volatility in SAARC countries
Abbas, Sumra, (2015)
- More ...
-
Albers, Stefan, (1994)
-
Adema, Jens, (2019)
-
Albers, Stefan, (1995)
- More ...