Browsing AUT Business School by Author "Webb, R"

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    • On Intraday Relation Between the Vix and Its Futures

      Frijns, B; Tourani Rad, A; Webb, R (John Wiley & Sons, 2014)
      We study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using daily data, we observe that there is some ...