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
Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
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DOI: 10.1002/fut.21919
Abstract: This paper studies the interdependencies between the VIX futures market and the S&P500 and VIX options markets using a model‐free pricing method for VIX futures. We show that the replication strategy for the VIX futures… read more here.
Keywords: p500 vix; vix; vix futures; vix derivatives ... See more keywords
Bitcoin, VIX futures and CDS: a triangle for hedging the international equity portfolios
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DOI: 10.1108/ijoem-01-2020-0065
Abstract: PurposeIn this paper, our aim is to estimate the time varying correlations between Bitcoin, VIX futures and CDS indexes and to examine in what ways these assets can act as beneficial hedge and safe haven… read more here.
Keywords: vix futures; methodology; hand; futures cds ... See more keywords