Intraday Momentum in VIX Futures Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === In our study, we examine the existence of the intraday momentum, which the first 30-minute interval return can positively predict the last 30-minute interval return, by using the VIX futures data at tick frequency. The sample period is from January 2, 2006 to...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7t4vyc |