The informational role of VIX option markets in the prediction of VIX index
碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === In this study we focus on the VIX option market to inspect whether this market is a venue where informed investors are present. We use intraday data from January 2008 to March 2010 to analyze the quote revisions and net trade volume of VIX options and examine th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53530872470317235486 |