Determinants of intraday price discovery in VIX exchange traded notes

Adrian Fernandez-Perez*, Bart Frijns, Ilnara Gafiatullina, Alireza Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)535-548
Number of pages14
JournalJournal of Futures Markets
Volume38
Issue number5
Early online date10 Apr 2018
DOIs
Publication statusPublished - May 2018
Externally publishedYes

Keywords

  • high-frequency data
  • price discovery
  • volatility ETNs

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