We appreciate having had interesting discussions with Menachem Brenner. We thank an anonymous referee, Yankun Chen, and Bob Webb (editor) for their helpful comments. Jinghong Shu thanks research grant from the University of International Business and Economics (Project No. 73200013). Jin E. Zhang has been supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKU 7549/09H).
Causality in the VIX futures market†
Article first published online: 12 JAN 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 1, pages 24–46, January 2012
How to Cite
Shu, J. and Zhang, J. E. (2012), Causality in the VIX futures market. J. Fut. Mark., 32: 24–46. doi: 10.1002/fut.20506
- Issue published online: 4 NOV 2011
- Article first published online: 12 JAN 2011
- Manuscript Accepted: DEC 2010
- Manuscript Received: AUG 2010
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