Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Year of publication: |
2019
|
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Authors: | Cary, Dayne ; Van Vuuren, Gary |
Published in: |
Cogent Economics & Finance. - ISSN 2332-2039. - Vol. 7.2019, 1, p. 1-21
|
Publisher: |
Abingdon : Taylor & Francis |
Subject: | volatility index | VIX | correlation | trading strategy |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1080/23322039.2019.1641063 [DOI] 1839384492 [GVK] hdl:10419/270667 [Handle] RePEc:taf:oaefxx:v:7:y:2019:i:1:p:1641063 [RePEc] |
Source: |
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
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Predicting stock market volatility : a new measure
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
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