Allen, D.E.; Kramadibrata, A.; McAleer, M.; Powell, R.; … - Institute of Economic Research, Kyoto University - 2012
This paper features an analysis of the relationship between the S&P500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P500 daily continuously compounded...
