Robert T. Daigler

Florida International University (FIU) - Department of Finance

University Park

11200 SW 8th Street

Miami, FL 33199

United States

SCHOLARLY PAPERS

10

DOWNLOADS

184

SSRN CITATIONS
Rank 37,280

SSRN RANKINGS

Top 37,280

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

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 97 (272,622)

Abstract:

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

2.

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 33 (457,292)

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Implied Convexity, VIX Futures Variance, Volatility

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 The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 21 (520,486)
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 18 (538,136)

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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, Florida International University (FIU) - Department of Finance and Florida International University - College of Business Administration - Finance
Downloads 12 (574,550)
Citation 4

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

6.

Using Four-Moment Tail Risk to Examine Financial and Commodity Instrument Diversification

Financial Review, Vol. 45, Issue 4, pp. 1101-1123, November 2010
Number of pages: 23 Posted: 13 Oct 2010
Leyuan You and Robert T. Daigler
University of Alaska Anchorage and Florida International University (FIU) - Department of Finance
Downloads 3 (635,127)
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7.

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

8.

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

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

9.

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

Journal of Finance
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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10.

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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