Adhikari, Binay K.; Hilliard, Jimmy E. - In: International Journal of Financial Markets and Derivatives 3 (2014) 3, pp. 222-240
The VIX has traditionally been considered a forward indicator of realised volatility. This follows from its original formulation as the implied volatility of an option on the S%P 100 index and its later incarnation based on the fair price of a realised volatility swap. We focus on the related...
