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Selling VIX Futures and Options for Portfolio Return Enhancement

Szado, Edward - 2019

The term structure of VIX futures is generally upward sloping. The persistent VIX contango may result in abnormally strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and significant jump risk may expose short uncovered VIX...

Persistent link: https://www.econbiz.de/10012870103

Conditional properties of hedge funds : evidence from daily returns

Li, Ying; Kazemi, Hossein - In: European financial management : the journal of the … 13 (2007) 2, pp. 211-238

Persistent link: https://www.econbiz.de/10003550394

Momentum in asset returns : are commodity returns a special case?

Schneeweis, Thomas; Kazemi, Hossein; Spurgin, Richard - In: The journal of alternative investments 10 (2007/08) 4, pp. 23-36

Persistent link: https://www.econbiz.de/10003720762

Estimates of the short-term rate process in an arbitrage-free framework

Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589

Persistent link: https://www.econbiz.de/10002171480

Indeterminacy and volatility of exchange rates under imperfect currency substitution

Mahdavi, Mahnaz - In: Economic inquiry : journal of the Western Economic … 34 (1996) 1, pp. 168-181

Persistent link: https://www.econbiz.de/10001201709