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Causality in the VIX futures market

Citations

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Cited by:

  1. López, Raquel & Esparcia, Carlos, 2021. "Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 32-54.
  2. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
  3. Yang, Yan-Hong & Shao, Ying-Hui, 2020. "Time-dependent lead-lag relationships between the VIX and VIX futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  4. Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
  5. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
  6. Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad, 2018. "Determinants of intraday price discovery in VIX exchange traded notes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 535-548, May.
  7. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
  8. Hsiu-Chuan Lee & Donald Lien & Her-Jiun Sheu, 2023. "Hedging performance of volatility index futures: a partial cointegration approach," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 265-294, July.
  9. Ballestra, Luca Vincenzo & Guizzardi, Andrea & Palladini, Fabio, 2019. "Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1250-1262.
  10. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
  11. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
  12. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020. "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, vol. 44(2).
  13. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
  14. Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
  15. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
  16. Taylor, Nick, 2019. "Forecasting returns in the VIX futures market," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1193-1210.
  17. Bangsgaard, Christine & Kokholm, Thomas, 2024. "The lead–lag relation between VIX futures and SPX futures," Journal of Financial Markets, Elsevier, vol. 67(C).
  18. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  19. Huang, Hong-Gia & Tsai, Wei-Che & Yang, J. Jimmy, 2024. "Trading activity of VIX futures and options around FOMC announcements," International Review of Financial Analysis, Elsevier, vol. 94(C).
  20. Ole Linnemann Nielsen & Anders Merrild Posselt, 2022. "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers 2022-06, Department of Economics and Business Economics, Aarhus University.
  21. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
  22. Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  23. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
  24. Sebastian A. Gehricke & Jin E. Zhang, 2018. "Modeling VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 958-976, August.
  25. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
  26. Apergis, Nicholas & Mustafa, Ghulam & Malik, Shafaq, 2023. "The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 27-35.
  27. Chen, Yu-Lun & Tsai, Wei-Che, 2017. "Determinants of price discovery in the VIX futures market," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 59-73.
  28. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  29. Zhe Zhao & Zhenyu Cui & Ionuţ Florescu, 2018. "VIX derivatives valuation and estimation based on closed-form series expansions," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
  30. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  31. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  32. Gehricke, Sebastian A. & Zhang, Jin E., 2021. "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 103-117.
  33. Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, , vol. 37(2), pages 1-30, April.
  34. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
  35. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
  36. Jack J. W. Yang & Chia-Hsing Huang & Chi-Hui Wang, 2013. "Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options," Business and Management Research, Business and Management Research, Sciedu Press, vol. 2(3), pages 68-80, September.
  37. Yan-Hong Yang & Ying-Hui Shao, 2019. "Time-dependent lead-lag relationships between the VIX and VIX futures markets," Papers 1910.13729, arXiv.org.
  38. Finta, Marinela Adriana, 2021. "Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  39. Josué M. Polanco-Martínez & Luis M. Abadie, 2016. "Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach," Energies, MDPI, vol. 9(12), pages 1-19, December.
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