Listar por tema "variance swap"

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Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective

López, Raquel; Esparcia, Carlos (International Review of Economics & Finance, 01/2021)

This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility ...