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Keywords: Transaction costs
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2017) 7 (2): 203–227.
Published: 15 May 2017
...Hong Yu Xin Pan; Jun Song Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect...
Journal Articles
Journal:
China Finance Review International
China Finance Review International (2014) 4 (3): 243–270.
Published: 12 August 2014
... be contacted at: leiq@umich.edu © Emerald Group Publishing Limited 2014 Transaction costs Insider trading Investment style Trading alpha VWAP Our primary data source is Thomson Reuters Insider Filing Data Feed, which provides a historical archive for the transactions of persons subject...
