Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Marcus Nossman; Anders Wilhelmsson

doi:10.3905/JAI.2009.12.2.054

Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Marcus Nossman and Anders Wilhelmsson

The Journal of Alternative Investments Fall 2009, 12 (2) 54-67; DOI: https://doi.org/10.3905/JAI.2009.12.2.054

Marcus Nossman

is a Ph.D. at the department of economics, Lund University in Lund, Sweden.

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For correspondence: marcus.nossman@nek.lu.se

Anders Wilhelmsson

is a post-doctoral research fellow at the department of economics, Lund University in Lund, Sweden.

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For correspondence: anders.vilhelmsson@nek.lu.se

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Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Marcus Nossman, Anders Wilhelmsson

The Journal of Alternative Investments Sep 2009, 12 (2) 54-67; DOI: 10.3905/JAI.2009.12.2.054

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Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Marcus Nossman, Anders Wilhelmsson

The Journal of Alternative Investments Sep 2009, 12 (2) 54-67; DOI: 10.3905/JAI.2009.12.2.054

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