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VSTOXX® Brexit and European volatility behavior

Release date: 25 Feb 2020 | Eurex Group

VSTOXX® Brexit and European volatility behavior

The article Brexit and European volatility behavior is an event study focused on the behavior of the VSTOXX® futures forward curve before, during and post European-related election events such as Brexit 2016 & Brexit 2019, French elections (potential Frexit) 2017, and the 2018 Italian election. The data suggests the following questions to be discussed in the article:

  1. Is there a common re-occurring behavior of market sentiment displayed in the VSTOXX® futures forward curve?
  2. Is the sentiment behavior presenting potential market opportunities?
 

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