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The rise and fall of S&P500 variance futures · Study

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ArticleThe rise and fall of S&P500 variance futures

Chia‐Lin Chang2012

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The rise and fall of S&P500 variance futures

Chia‐Lin Chang · Juan‐Ángel Jiménez‐Martín · Michael J. McAleer · Teodosio Pérez Amaral

21 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1986Generalized autoregressive conditional heteroscedasticity 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 1976Studies of stock market volatility changes 1996Statistical aspects of ARCH and stochastic volatility

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2019The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures

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Year2012

Typearticle

Published2012-09-26

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2012.06.011

openalex_workW2166960396

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