Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns
YH Lee, TH Liao, HC Lee - Journal of Futures Markets, 2022 - Wiley Online Library
This study investigates whether investor sentiment estimated by overnight returns of industry
exchange‐traded funds (ETFs) affects Volatility Index (VIX) futures and stock index futures …
exchange‐traded funds (ETFs) affects Volatility Index (VIX) futures and stock index futures …
The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities
X Luo, X Qi - Journal of Futures Markets, 2017 - Wiley Online Library
This paper investigates the dynamic correlations between the G7 economies and China by
using the EGARCH/DCC models proposed by Engle and Figlewski (). We find that the …
using the EGARCH/DCC models proposed by Engle and Figlewski (). We find that the …
Option Price Theory: A Quantitative Study of Volatility, Interest Rate, Exchange Rate, and S&P 500 Index Prices
TJ Chesebro - 2020 - search.proquest.com
The study of volatility and price as interrelated functions of the market formed the basis for
many studies into option price action, but the relationship of price and the other variables did …
many studies into option price action, but the relationship of price and the other variables did …
Exchange traded funds in Europe and the US: performance and tracking errors
G Tsalikis - 2020 - dspace.lib.uom.gr
Exchange Traded Funds (ETFs) are one of the most successful and innovative financial
products of the last two decades. They have become extremely popular both by retail and …
products of the last two decades. They have become extremely popular both by retail and …
[BOOK][B] The Dynamic Correlations Among the G7 and China: Evidence from Both Realized and Implied Volatilities
X Luo, X Qi - 2016 - shanghai.nyu.edu
EGARCH/DCC models proposed by Engle and Figlewski (2014). We find that the
correlations among the G7 can be captured by a general correlation structure and a one …
correlations among the G7 can be captured by a general correlation structure and a one …