Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine - In: Journal of Banking & Finance 52 (2015) C, pp. 256-265
While CBOE’s VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk-aversion in fixed-income markets. Indeed,...