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RePEcDerivatives & Volatility

Exploiting VIX Distortions

Long-term exposure to high market volatility can lead to underestimation of volatility, creating predictable stock returns; a strategy capitalizing on this can beat a standard index portfolio.

Featured in No. 61 on 15 Aug 2024 ·

Released
23 Nov 2022
First featured
No. 61 · 15 Aug 2024
Published in
Not yet, as far as Semantic Scholar knows
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Identifier
RePEc:taf:ufajxx:v:78:y:2022:i:2:p:79-95

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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