Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013
This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already … spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and … term structure, has better predictive power on S&P 500 returns compared to the usual model-free premium …