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Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic
VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price premiums, defined as futures prices minus real-time statistical forecasts of future VIX values, turned sharply negative and remained negative until mid-April. Trading strategies bas...
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| 發表在: | Rev Asset Pricing Stud |
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| 主要作者: | |
| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
Oxford University Press
2020
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| 主題: | |
| 在線閱讀: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7454908/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/rapstu/raaa010 |
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