Trading Volatility : Trading strategies based on the VIX term structure.
This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs ar...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Företagsekonomi
2020
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172989 |