The authors are grateful to the National Science Council of Taiwan for the financial support provided for this study.
The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index†
Article first published online: 27 MAY 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 12, pages 1170–1201, December 2011
How to Cite
Chung, S.-L., Tsai, W.-C., Wang, Y.-H. and Weng, P.-S. (2011), The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index. J. Fut. Mark., 31: 1170–1201. doi: 10.1002/fut.20532
- Issue published online: 3 OCT 2011
- Article first published online: 27 MAY 2011
- Manuscript Received: APR 2011
- Manuscript Accepted: APR 2011
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