Risk Appetite, VIX Futures Basis, and S&P 500 Index Futures Returns
碩士 === 銘傳大學 === 財務金融學系碩士班 === 106 === This study examines the impact of the VIX futures basis on S&P500 index futures returns based on the degree of risk appetite using the linear-regression-based tree model. We use return distributions, 52-week high ratio and historical high ratio to capture t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7j7r5v |