Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, … - School of Economics and Management, University of Aarhus - 2011
rules regarding market liquidity. It is explicitly designed to provide a model-free option-implied volatility measure. Using … measure, distorting the time series properties of VIX. We introduce a novel “Corridor Implied Volatility” index (CX) computed …