VIX and SPX Futures Lead-Lag Relationship
The study investigates the relationship between VIX futures and SPX futures, discovering a strong negative correlation when volatility is high, with VIX futures leading, and that market liquidity and hedging activities influence this relationship.
Featured in No. 36 on 7 Feb 2024 · on release day
- Released
- 7 Feb 2024
- First featured
- No. 36 · 7 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 20
- Identifier
- RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).