López, R.; Navarro, E. - In: Applied Financial Economics 23 (2013) 18, pp. 1419-1432
We suggest a methodology for the construction of a set of interest rate volatility indices for the Eurozone (EIRVIXs) based on the implied volatility quotes of caps (floors), one of the most liquid interest rate derivatives. These indices reflect the market's aggregate expectation of volatility...