Caricamento...
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...
Salvato in:
| Pubblicato in: | Resour Policy |
|---|---|
| Autori principali: | , , , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Elsevier Ltd.
2020
|
| Soggetti: | |
| Accesso online: | 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 |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne! !
|