Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX
premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of …

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 …

How the online social media, like Twitter or its variant Weibo, interacts with the stock market
and whether it can be a convincing proxy to predict the stock market have been debated for …

This paper investigates whether volatility futures prices per se can be forecasted by studying
the fast-growing VIX futures market. To this end, alternative model specifications are …

This study demonstrates that the VIX futures basis does not have significant forecast power
for the change in the VIX spot index from 2006 through 2011 but does have forecast power …

Unlike previous studies, we examine which of the implied volatilities of US stock and crude
oil markets are more suitable and effective hedge for the downside risk of US travel and …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

This paper proposes a methodology using VIX futures as an investment asset while
controlling downside risk. For this purpose, three portfolio insurance (PI) strategies are built …

This study develops a term structure model for VIX futures. Instead of deriving the VIX futures
price from a model for the instantaneous variance of the S&P 500 or a model for the VIX, the …

Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi
(Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki …