This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

Several common properties shared by cryptocurrencies and precious metals, such as safe
haven, hedge and diversification for risk assets, have been widely discussed since Bitcoin …

This paper uses information on VIX to improve the empirical performance of GARCH models
for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models' …

In this article, we derive the corresponding implied VIX formulas under the locally risk-
neutral valuation relationship (LRNVR) proposed by when a class of square-root stochastic …

This paper investigates the dynamics of the interactions between international stock returns
and perceived volatility measured by the VIX index using quantile-on-quantile spillover …

Using an extended LHARG model proposed by Majewski et al.(2015, J Econ, 187, 521–
531), we derive the closed‐form pricing formulas for both the Chicago Board Options …

We propose a closed‐form pricing formula for the Chicago Board Options Exchange
Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi …

This paper studies benefits of joint estimations for GARCH option pricing that utilize both
stock returns and volatility derivatives. The proposed estimations not only provide realistic …

For nearly every major stock market there exist equity and implied volatility indices. These
play important roles within finance: be it as a benchmark, a measure of general uncertainty …

Considering the asymmetric volatility response to positive and negative shocks, this paper
investigates VIX term structure forecasting by incorporating the realized upside and …