The lead-lag relation between VIX futures and SPX futures
Christine Bangsgaard, Thomas Kokholm
| Year of publication: |
2024
|
|---|---|
| Authors: | Bangsgaard, Christine ; Kokholm, Thomas |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 2014997-9. - Vol. 67.2024, Art.-No. 100851, p. 1-26
|
| Subject: | Cross-correlation | Cross-market activity | High-frequency data | Lead-lag relation | Price discovery | VIX futures hedging | Volatilität | Volatility | Börsenkurs | Share price | Hedging | Derivat | Derivative | Futures | Index-Futures | Index futures |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2023.100851 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491067