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Persistent link: https://www.econbiz.de/10012438393
This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...
Persistent link: https://www.econbiz.de/10012182042