Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices
Authors:
- Ioannis PsaradellisIPIoannis Psaradellis
- Georgios SermpinisGSGeorgios Sermpinis
- 1 October 2016
- journal article
- Published by Elsevier in International Journal of Forecasting
- Vol. 32 (4) , 1268-1283
Abstract
No abstract availableFunding Information
- EPSRC (EP/L015927/1)
- ESRC Centre for Doctoral Training on Quantification
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