Jablecki, Juliusz; Slepaczuk, Robert; Kokoszczynski, Ryszard - In: Dynamic Econometric Models 14 (2014), pp. 5-28
We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30) it is strongly downward sloping. We use these features...
