Anders Merrild Posselt

Aarhus University - CREATES

Fuglesangs Alle 4

Aarhus, 8210

Denmark

SCHOLARLY PAPERS

4

DOWNLOADS

777

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Betting on mean reversion in the VIX? Evidence from ETP flows

Number of pages: 44 Posted: 02 Mar 2020 Last Revised: 03 Sep 2021
Ole Linnemann Nielsen and Anders Merrild Posselt
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 331 (127,384)
Citation 2

Abstract:

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VIX ETPs, Asset Pricing Tests, Flows, VIX Premium

2.

Dynamics in the VIX Complex

Number of pages: 45 Posted: 05 Mar 2021 Last Revised: 01 Jun 2021
Anders Merrild Posselt
Aarhus University - CREATES
Downloads 243 (174,458)

Abstract:

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VIX futures, Term structure analysis, the VIX, VIX ETPs

3.

The Economic Value of VIX ETPs

Number of pages: 65 Posted: 18 Sep 2019 Last Revised: 23 Apr 2020
Kim Christensen, Charlotte Christiansen and Anders Merrild Posselt
Aarhus University - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 123 (311,524)
Citation 1

Abstract:

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VIX; VIX ETPs; VIX Premium; Economic value; Portfolio diversification

4.

The U.S. Dollar and Variance Risk Premia Imbalances

Number of pages: 52 Posted: 20 Apr 2022
Mads Markvart Kjær and Anders Merrild Posselt
Aarhus University, CREATES and Aarhus University - CREATES
Downloads 80 (411,588)

Abstract:

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Currency return predictability, the U.S. Dollar, variance risk premium