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A comment on 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity. Parent comment
One example of a calendar effect that is likely not easily monetized is the 'Christmas effect' for VIX [0] due to decreases in trading activity.
[0] https://jai.iijournals.com/content/20/2/65
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One example of a calendar effect that is likely not easily monetized is the 'Christmas effect' for VIX [0] due to decreases in trading activity.
[0] https://jai.iijournals.com/content/20/2/65