Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens
โฆ LIBER โฆ
The jump component of S&P 500 volatility and the VIX index
โ Scribed by Ralf Becker; Adam E. Clements; Andrew McClelland
- Book ID
- 116615293
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 213 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0378-4266
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## Abstract This study investigates whether the newly cultivated platform of volatility derivatives has altered the volatility of the underlying S&P500 index. The findings suggest that the onset of the volatility derivatives trading has lowered the volatility of both the cash market volatility and
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