Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
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https://www.nber.org/papers/w24575
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资源简介：
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is
提供机构：
美国国家经济研究局
创建时间：
2018-05-01
