Baba, N.; Sakurai, Y. - In: Applied Economics Letters 18 (2011) 15, pp. 1415-1419
In this article, we investigate the role of US macroeconomic variables as leading indicators of regime shifts in the VIX index using a regime-switching approach. We find that there are three distinct regimes in the VIX index during the 1990 to 2010 period: tranquil regime with low volatility,...