Ivan Asensio

University of San Francisco - School of Management

San Francisco, CA 94117

United States

  • University of San Francisco - School of Management

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VIX Futures Term Structure and the Expectations Hypothesis

VIX futures term structure and the expectations hypothesis Quantitative Finance, Volume 20, Issue 4 (2020): 619-638. https://doi.org/10.1080/14697688.2019.1684549
Posted: 07 Jan 2021
Ivan Asensio
University of San Francisco - School of Management

Abstract:

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Financial Futures, Implied Volatilities, Quantitative Trading Strategies, Term Structure, Expectations Hypothesis, Role of Derivatives Securities Mis-Pricing