Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns
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DOI: 10.1002/fut.21838
Abstract: This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is… read more here.
Keywords: index futures; vix futures; 500 index; futures basis ... See more keywords