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Forecasting and Trading High Frequency Volatility on Large Indices

Liu, Fei - 2018

The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...

Persistent link: https://www.econbiz.de/10012935482