Has the VIX index been manipulated?
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DOI: 10.1057/s41260-018-00102-4
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References listed on IDEAS
- Craig Pirrong, 2004. "Detecting Manipulation in Futures Markets: The Ferruzzi Soybean Episode," American Law and Economics Review, American Law and Economics Association, vol. 6(1), pages 28-71.
- John M Griffin & Amin Shams, 2018. "Manipulation in the VIX?," The Review of Financial Studies, Society for Financial Studies, vol. 31(4), pages 1377-1417.
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Cited by:
- Claudiu Vințe & Marcel Ausloos, 2023.
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- Claudiu Vinte & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," Papers 2303.09330, arXiv.org.
- Ali Hirsa & Joerg Osterrieder & Branka Hadji Misheva & Wenxin Cao & Yiwen Fu & Hanze Sun & Kin Wai Wong, 2021. "The VIX index under scrutiny of machine learning techniques and neural networks," Papers 2102.02119, arXiv.org.
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Keywords
VIX; VIX futures; Manipulation; VIX options;All these keywords.
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