Bailey, Warren; Zheng, Lin; Zhou, Yinggang - Hong Kong Institute for Monetary Research (HKIMR), … - 2012
We seek the roots of one-minute changes in VIX, an index of S&P 500 option prices, to understand risk neutral … volatility and its risk premium component. Beyond leverage and risk premium effects, macroeconomic influences and some proxies … significance. VIX changes display negative serial correlation suggesting liquidity provision in the options market. Temporary price …