Now showing items 1-1 of 1

    • Modeling and predicting the CBOE market volatility index 

      Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel
      This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread ...