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- W4281569220 abstract "We investigate the behavior of 30-day forward-looking volatility derived from options on market indices, commodities and individual active stocks using a wide range of seasonal and calendar anomalies documented empirically in the finance literature. Our findings indicate the consistent and systematic absence of irregularities in the majority of the examined effects because, in general, the volatility indices remain unaffected by seasonal and calendar effects. However, we detect robust and significant weekday seasonality, within-the-month, turn-of-the-month, pre-holiday, and intra-quarter effects. For investors interested in buying or selling volatility products, our findings may be useful in timing their transactions." @default.
- W4281569220 created "2022-05-27" @default.
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- W4281569220 date "2022-11-01" @default.
- W4281569220 modified "2023-09-28" @default.
- W4281569220 title "Irregularities in forward-looking volatility" @default.
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- W4281569220 doi "https://doi.org/10.1016/j.qref.2022.05.003" @default.
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