Arthur Rodier

Independent

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Intraday Share Price Volatility and Leveraged ETF Rebalancing

Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 07 Jan 2016
York University - Schulich School of Business, University of Toronto - Rotman School of Management, Independent and Independent
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Citation 28

Abstract:

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Leveraged ETF, ETF, Intraday volatility, Swap counterparties, market volatility, market microstructure