Determinants of intraday price discovery in VIX exchange traded notes
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DOI: 10.1002/fut.21907
Abstract: This study investigates the intraday price discovery of the VIX short†term futures ETN (VXX) and inverse VIX short†term ETN (XIV) for the period January 3, 2012 to December 31, 2015. Using Hasbrouck's (1995)… read more here.
Keywords: discovery vix; price; price discovery; intraday price ... See more keywords