This paper investigates daily and intraday properties of the VIX and its predecessor the VXO. Sampling data at a one-minute frequency, we document that both the VIX and VXO display a negative drift intraday. While this finding is expected in the VXO, given its constant 30-day maturity at a daily...

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...