We thank Samuel Kadziela and Shelly Natenberg, Chicago Trading Company, participants of the 2011 Midwest Finance Meeting, the reviewer and Bob Webb (the editor), and participants at the Thammasat Business School finance research workshop for useful discussions and comments. We are especially grateful to Shelly Natenberg's insights on implied volatility skews. An earlier version of this study was circulated under the title of “Market Integration, Commodity VIXs, and the Return-Volatility Relation.” Chaiyuth Padungsaksawasdi was financially supported by the FIU Graduate School Dissertation Year Fellowship.
The Return-Implied Volatility Relation for Commodity ETFs
Version of Record online: 2 JAN 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 3, pages 261–281, March 2014
How to Cite
Padungsaksawasdi, C. and Daigler, R. T. (2014), The Return-Implied Volatility Relation for Commodity ETFs. J. Fut. Mark., 34: 261–281. doi: 10.1002/fut.21592
- Issue online: 29 JAN 2014
- Version of Record online: 2 JAN 2013
- Manuscript Accepted: 10 NOV 2012
- Manuscript Received: 12 JUL 2012
- FIU Graduate School Dissertation Year Fellowship
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