Search Results

There are 35233 results for: content related to: An analytical formula for VIX futures and its applications

  1. On the Intraday Relation Between the VIX and its Futures

    Journal of Futures Markets

    Volume 36, Issue 9, September 2016, Pages: 870–886, Bart Frijns, Alireza Tourani-Rad and Robert I. Webb

    Version of Record online : 27 OCT 2015, DOI: 10.1002/fut.21762

  2. The performance of VIX option pricing models: Empirical evidence beyond simulation

    Journal of Futures Markets

    Volume 31, Issue 3, March 2011, Pages: 251–281, Zhiguang Wang and Robert T. Daigler

    Version of Record online : 30 APR 2010, DOI: 10.1002/fut.20466

  3. The new market for volatility trading

    Journal of Futures Markets

    Volume 30, Issue 9, September 2010, Pages: 809–833, Jin E. Zhang, Jinghong Shu and Menachem Brenner

    Version of Record online : 22 JAN 2010, DOI: 10.1002/fut.20448

  4. The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options

    Journal of Futures Markets

    Volume 35, Issue 8, August 2015, Pages: 715–737, Wei-Che Tsai, Ying-Tzu Chiu and Yaw-Huei Wang

    Version of Record online : 15 JAN 2015, DOI: 10.1002/fut.21710

  5. Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures

    Journal of Futures Markets

    Volume 36, Issue 11, November 2016, Pages: 1029–1056, Xi Fu, Matteo Sandri and Mark B. Shackleton

    Version of Record online : 4 FEB 2016, DOI: 10.1002/fut.21772

  6. STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

    Mathematical Finance

    Volume 23, Issue 3, July 2013, Pages: 439–458, Joanna Goard and Mathew Mazur

    Version of Record online : 9 FEB 2012, DOI: 10.1111/j.1467-9965.2011.00506.x

  7. Use a Reduced Heston or Reduce the Use of Heston?

    Wilmott Journal

    Volume 2, Issue 4, August 2010, Pages: 171–192, Florence Guillaume and Wim Schoutens

    Version of Record online : 23 AUG 2010, DOI: 10.1002/wilj.33

  8. A simplified pricing model for volatility futures

    Journal of Futures Markets

    Volume 31, Issue 4, April 2011, Pages: 307–339, Brice Dupoyet, Robert T. Daigler and Zhiyao Chen

    Version of Record online : 29 JUN 2010, DOI: 10.1002/fut.20471

  9. On the Demand for Portfolio Insurance

    Risk Management and Insurance Review

    Volume 16, Issue 2, Fall 2013, Pages: 167–193, Andy Fodor, James S. Doran, James M. Carson and David P. Kirch

    Version of Record online : 21 OCT 2013, DOI: 10.1111/rmir.12009

  10. Information diffusion and the predictability of New Zealand stock market returns

    Accounting & Finance

    Volume 56, Issue 3, September 2016, Pages: 749–785, Hai Lin and Daniel Quill

    Version of Record online : 17 SEP 2014, DOI: 10.1111/acfi.12091

  11. The Pre-FOMC Announcement Drift

    The Journal of Finance

    Volume 70, Issue 1, February 2015, Pages: 329–371, DAVID O. LUCCA and EMANUEL MOENCH

    Version of Record online : 19 JAN 2015, DOI: 10.1111/jofi.12196

  12. The Term Structure of VIX

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1092–1123, Xingguo Luo and Jin E. Zhang

    Version of Record online : 16 AUG 2012, DOI: 10.1002/fut.21572

  13. Inflation and Market Uncertainty in South Africa

    South African Journal of Economics

    Volume 82, Issue 4, December 2014, Pages: 583–602, Philippe Burger

    Version of Record online : 3 JUL 2014, DOI: 10.1111/saje.12057

  14. The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

    Journal of Futures Markets

    Volume 31, Issue 12, December 2011, Pages: 1170–1201, San-Lin Chung, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih Weng

    Version of Record online : 27 MAY 2011, DOI: 10.1002/fut.20532

  15. Trading the VIX Futures Roll and Volatility Premiums with VIX Options

    Journal of Futures Markets

    Volume 37, Issue 2, February 2017, Pages: 184–208, David P. Simon

    Version of Record online : 6 MAY 2016, DOI: 10.1002/fut.21788

  16. Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX

    Journal of Futures Markets

    Volume 34, Issue 1, January 2014, Pages: 74–92, Robert T. Daigler, Ann Marie Hibbert and Ivelina Pavlova

    Version of Record online : 26 NOV 2012, DOI: 10.1002/fut.21582

  17. Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model

    Journal of Futures Markets

    Volume 37, Issue 7, July 2017, Pages: 641–659, Tianyi Wang, Yiwen Shen, Yueting Jiang and Zhuo Huang

    Version of Record online : 9 NOV 2016, DOI: 10.1002/fut.21820

  18. Causality in the VIX futures market

    Journal of Futures Markets

    Volume 32, Issue 1, January 2012, Pages: 24–46, Jinghong Shu and Jin E. Zhang

    Version of Record online : 12 JAN 2011, DOI: 10.1002/fut.20506

  19. Construction of Volatility Indices Using a Multinomial Tree Approximation Method

    Handbook of Modeling High-Frequency Data in Finance

    Dragos Bozdog, Ionuţ Florescu, Khaldoun Khashanah, Hongwei Qiu, Pages: 97–115, 2011

    Published Online : 7 NOV 2011, DOI: 10.1002/9781118204580.ch5

  20. Tail Wags Dog: Intraday Price Discovery in VIX Markets

    Journal of Futures Markets

    Volume 37, Issue 5, May 2017, Pages: 431–451, Nicolas P.B. Bollen, Michael J. O'Neill and Robert E. Whaley

    Version of Record online : 19 AUG 2016, DOI: 10.1002/fut.21805