Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained … between the S&P 500 daily return series and a similar series for the VIX in terms of a long sample drawn from the CBOE from … statistics suggest that the degree of uncertainty attached to these distributions changes through time and using the S&P 500 …