## Abstract This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is
Program trading, nonprogram trading, and market volatility
β Scribed by Hogan, Kedreth C.; Kroner, Kenneth F.; Sultan, Jahangir
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 219 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0270-7314
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