The daily rise and fall of the VIX1D: Causes and solutions of its overnight bias
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DOI: 10.1016/j.frl.2024.105186
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More about this item
Keywords
VIX1D; Implied volatility; Intraday pattern; Overnight bias; Day-of-the-week effect;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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