Browsing FGV EESP - Textos para Discussão / Working Paper Series by Title "Modeling and predicting the CBOE market volatility index"

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    • Modeling and predicting the CBOE market volatility index 

      Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel
      2013-12-09
      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 ...