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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...

Deskribapen osoa

Gorde:
Xehetasun bibliografikoak
Argitaratua izan da:Rev Asset Pricing Stud
Egile nagusia: Cheng, Ing-Haw
Formatua: Artigo
Hizkuntza:Inglês
Argitaratua: Oxford University Press 2020
Gaiak:
Sarrera elektronikoa:https://ncbi.nlm.nih.gov/pmc/articles/PMC7454908/
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/rapstu/raaa010
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