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Explaining the negative returns to volatility claims : an equilibrium approach

Eraker, Bjørn; Wu, Yue - In: Journal of financial economics 125 (2017) 1, pp. 72-98

Persistent link: https://www.econbiz.de/10011751609

Estimating behavioural heterogeneity under regime switching

Chiarella, Carl; He, Xue-zhong; Huang, Weihong; Zheng, … - 2011

Persistent link: https://www.econbiz.de/10009564621

U.S. stock markets and the role of real interest rates

Huang, Wanling; Mollick, André Varella; Nguyen Khoa Huu - In: The quarterly review of economics and finance : journal … 59 (2016), pp. 231-242

Persistent link: https://www.econbiz.de/10011627292

Estimating behavioural heterogeneity under regime switching

Chiarella, Carl; He, Xue-zhong; Huang, Weihong; Zheng, … - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 446-460

Persistent link: https://www.econbiz.de/10011584097

Price comovement and market segmentation of Chinese A- and H-shares : evidence from a panel latent-factor model

Dong, Yingjie; Huang, Wenxin; Tse, Yiu Kuen - In: Journal of international money and finance 131 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248863

Delta-hedged gains of SSE 50 ETF options

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics letters 29 (2022) 20, pp. 1864-1867

Persistent link: https://www.econbiz.de/10013412320

Heterogeneous trading of option implied volatility

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics 55 (2023) 9, pp. 990-998

Persistent link: https://www.econbiz.de/10013498968

Explaining the Negative Returns to VIX Futures and ETNs : An Equilibrium Approach

Eraker, Bjorn - 2014

We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period...

Persistent link: https://www.econbiz.de/10013062522

Do government rescue policies reduce the market volatility after crash? : evidence from the Shanghai stock market

Yang, Ming-Yuan; Li, Sai-Ping; Wu, Yue; Tang, Jingtai; … - In: Finance research letters 29 (2019), pp. 117-124

Persistent link: https://www.econbiz.de/10012417968