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Intraday return predictability: Evidence from commodity ETFs and their related volatility indices
Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return predictability exists in all the markets, but...
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| Udgivet i: | Resour Policy |
|---|---|
| Main Authors: | , , , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Elsevier Ltd.
2020
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7480318/ https://ncbi.nlm.nih.gov/pubmed/34173420 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.resourpol.2020.101830 |
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