VIX and SPX Futures: Lead-Lag Relationship
Lead-Lag Relationship: VIX futures lead SPX futures in high volatility, but trading strategies are unprofitable due to transaction costs.
Featured in No. 5 on 28 Jun 2023 ·
- Released
- 16 Mar 2022
- First featured
- No. 5 · 28 Jun 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 1,211
- Identifier
- SSRN 4488912
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