We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index …) it is strongly downward sloping. We use these features to predict future VIX futures prices more precisely. We begin by … has significant predictive power for volatility futures and index futures and we use this feature to design simple …

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 …

a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility …Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard …