Robert T. Daigler

Florida International University (FIU) - Department of Finance

University Park

11200 SW 8th Street

Miami, FL 33199

United States

SCHOLARLY PAPERS

9

DOWNLOADS

1,070

SSRN CITATIONS
Rank 46,484

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Top 46,484

in Total Papers Citations

19

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

The Implied Convexity of VIX Futures

The Journal of Derivatives, 2016
Number of pages: 18 Posted: 17 Apr 2019
Robert T. Daigler, Brice V. Dupoyet and Fernando Patterson
Florida International University (FIU) - Department of Finance, Florida International University - College of Business Administration - Finance and North Carolina Central University (NCCU)
Downloads 598 (86,217)

Abstract:

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Implied Convexity, VIX Futures Variance, Volatility

2.

The Anatomy of a Crash: Liquidity Black Holes and ETF Options During the Flash Crash of 2010

Review of Futures Markets, 23(2), 49-69, 2013
Number of pages: 30 Posted: 08 Sep 2015
Sascha Strobl, Ahmet Oztekin and Robert T. Daigler
Clarmont Graduate University, Florida International University (FIU) - Department of Finance and Florida International University (FIU) - Department of Finance
Downloads 180 (310,640)

Abstract:

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Flash Crash, ETF options, bid-ask spread, depth, liquidity

3.

A Simplified Pricing Model for Volatility Futures

Journal of Future Markets, Volume 31, Issue 4, April 2011, Pages 307-339
Number of pages: 39 Posted: 23 May 2019
Brice V. Dupoyet, Robert T. Daigler and Zhiyao Chen
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 118 (437,079)
Citation 3

Abstract:

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volatility, VIX futures

4.

Spicing up a Portfolio with Commodity Futures: Still a Good Recipe?

The Journal of Alternative Investments, 2017
Number of pages: 16 Posted: 17 Apr 2019
Robert T. Daigler, Brice V. Dupoyet and Leyuan You
Florida International University (FIU) - Department of Finance, Florida International University - College of Business Administration - Finance and Texas State University, San Marcos
Downloads 95 (509,421)
Citation 1

Abstract:

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commodity futures; portfolio optimization; tail risk

5.

A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation

Number of pages: 30 Posted: 23 May 2019
Ann Marie Hibbert, Robert T. Daigler and Brice V. Dupoyet
West Virginia University - John Chambers College of Business and Economics, Department of Finance, Florida International University (FIU) - Department of Finance and Florida International University - College of Business Administration - Finance
Downloads 79 (570,566)
Citation 10

Abstract:

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Return–volatility relation; Behavioral finance; Leverage hypothesis; Volatility feedback hypothesis; VIX

6.

The Performance of Vix Option Pricing Models: Empirical Evidence Beyond Simulation

Journal of Futures Markets, Vol. 31, No. 3, pp. 251-281, 2010
Posted: 10 Jul 2011
Zhiguang Wang and Robert T. Daigler
South Dakota State University and Florida International University (FIU) - Department of Finance

Abstract:

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VIX options, volatility options

7.

Downside Four-Moment Tail Risk and its Effect on Financial and Commodity Diversification

Posted: 11 Mar 2009
Leyuan You and Robert T. Daigler
University of Alaska Anchorage and Florida International University (FIU) - Department of Finance

Abstract:

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four-moment Value-at-Risk, diversification, skewness, kurtosis, commodity futures

8.

The Impact of Trader Type on the Futures Volatility-Volume Relation

Posted: 16 Feb 1999
Robert T. Daigler and Marilyn K. Wiley
Florida International University (FIU) - Department of Finance and University of North Texas College of Business

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9.

Volume Characteristics by Type of Trader Using the Liquidity Databank

Posted: 23 Apr 1998
Robert T. Daigler and Marilyn K. Wiley
Florida International University (FIU) - Department of Finance and University of North Texas College of Business

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