Sabbaghi, Omid - In: Review of Accounting and Finance 14 (2015) 2, pp. 149-171
constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options … innovation in volatility (based on the new VIX) is correlated with the market and momentum factors, while exhibiting the … never significant statistically, thus revealing that innovations in aggregate volatility based on the new VIX index do not …