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The risk-return relation and VIX: evidence from the S&P 500

✍ Scribed by Angelos Kanas

Book ID
120743950
Publisher
Springer-Verlag
Year
2012
Tongue
English
Weight
584 KB
Volume
44
Category
Article
ISSN
0377-7332

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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