This study examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has several advantages as it offers more flexibility in...

This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 50...

Volatility has emerged as an important distinct asset class over the past decade. The popularity of volatility stems from its unique properties, namely its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related...

This study contributes to the age-old question of whether stock market returns are predictable, by studying the relationship of VIX futures term structure and future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has...