Valuation of VIX derivatives
J Mencia, E Sentana - Journal of Financial Economics, 2013 - Elsevier
We conduct an extensive empirical analysis of VIX derivative valuation models before,
during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and …
during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and …
Economic indicators and stock market volatility in an emerging economy
By analyzing the daily realized volatility series calculated from intraday stock price
observations, this study examines the direct causality between one-day-ahead aggregate …
observations, this study examines the direct causality between one-day-ahead aggregate …
Causality in the VIX futures market
J Shu, JE Zhang - Journal of Futures Markets, 2012 - Wiley Online Library
This study examines the price‐discovery function and information efficiency of a fast growing
volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear …
volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear …
[HTML][HTML] Risk spillover during the COVID-19 global pandemic and portfolio management
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios
between US stock markets and different financial variables and commodities during the pre …
between US stock markets and different financial variables and commodities during the pre …
Deep portfolio optimization via distributional prediction of residual factors
Recent developments in deep learning techniques have motivated intensive research in
machine learning-aided stock trading strategies. However, since the financial market has a …
machine learning-aided stock trading strategies. However, since the financial market has a …
Explaining the negative returns to volatility claims: An equilibrium approach
B Eraker, Y Wu - Journal of Financial Economics, 2017 - Elsevier
We study the returns to investing in VIX futures, VIX Exchange Traded Notes (ETNs), and
variance swaps. We document substantial negative return premia for these assets. For …
variance swaps. We document substantial negative return premia for these assets. For …
[BOOK][B] Trading volatility: At what cost?
RE Whaley - 2014 - researchgate.net
But alas, they are not. VIX is not a traded security. VIX ETPs, on the other hand, are traded
securities created from complicated VIX futures trading strategies. These strate-gies demand …
securities created from complicated VIX futures trading strategies. These strate-gies demand …
On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management
A Chandra, M Thenmozhi - Decision, 2015 - Springer
This study examines the asymmetric relationship between India volatility index (India VIX)
and stock market returns, and demonstrates that Nifty returns are negatively related to the …
and stock market returns, and demonstrates that Nifty returns are negatively related to the …
When no news is good news–The decrease in investor fear after the FOMC announcement
We examine the impact of Federal Open Market Committee announcements on the intraday
dynamics of the VIX and VIX futures. We find that at the time of the announcement the VIX …
dynamics of the VIX and VIX futures. We find that at the time of the announcement the VIX …
On the intraday relation between the VIX and its futures
B Frijns, A Tourani‐Rad, RI Webb - Journal of Futures Markets, 2016 - Wiley Online Library
We study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to
December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using …
December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using …