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The VIX Premium

Citations

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Cited by:

  1. Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
  2. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
  3. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
  4. Christensen, Kim & Christiansen, Charlotte & Posselt, Anders M., 2020. "The economic value of VIX ETPs," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 121-138.
  5. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Ma, Mingye, 2025. "Estimating volatility-of-volatility: A comparative analysis," Economics Letters, Elsevier, vol. 250(C).
  6. Ole Linnemann Nielsen & Anders Merrild Posselt, 2022. "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers 2022-06, Department of Economics and Business Economics, Aarhus University.
  7. Gangopadhyay, Partha & Pradhan, Rudra P. & Das, Narasingha, 2024. "Asymmetric shocks of the COVID-19 pandemic on the Australian stock market: Evidence from multiple threshold nonlinear ARDL (MTNARDL) approach," International Economics, Elsevier, vol. 179(C).
  8. Scott Mixon & Esen Onur, 2019. "Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1035-1055, September.
  9. Björn Uhl, 2024. "Sharpe-optimal volatility futures carry," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 288-302, May.
  10. Baruník, Jozef & Bevilacqua, Mattia & Faff, Robert, 2024. "Dynamic industry uncertainty networks and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
  11. Bouri, Elie & Gradojevic, Nikola & Nekhili, Ramzi, 2024. "Fear, extreme fear and U.S. stock market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 656(C).
  12. Li, Bingxin & Li, Shenru, 2025. "Tail risk premium in the crude oil market," Energy Economics, Elsevier, vol. 144(C).
  13. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
  14. Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
  15. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
  16. Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
  17. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
  18. Philip Stahl, 2022. "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, vol. 25(3), pages 315-339, October.
  19. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Yang, J. Jimmy, 2023. "Intraday momentum in the VIX futures market," Journal of Banking & Finance, Elsevier, vol. 148(C).
  20. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  21. Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
  22. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Hu, Sen, 2024. "Option trading volume and the cross-section of option returns," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  23. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
  24. Cooray, Arusha & Gangopadhyay, Partha & Das, Narasingha, 2023. "Causality between volatility and the weekly economic index during COVID-19: The predictive power of efficient markets and rational expectations," International Review of Financial Analysis, Elsevier, vol. 89(C).
  25. Liexin Cheng & Xue Cheng & Xianhua Peng, 2024. "Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models," Papers 2404.16295, arXiv.org, revised Nov 2025.
  26. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
  27. Nielsen, Ole Linnemann & Posselt, Anders Merrild, 2024. "Betting on mean reversion in the VIX? Evidence from ETP flows," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  28. Jungah Yoon & Xinfeng Ruan & Jin E. Zhang, 2022. "VIX option‐implied volatility slope and VIX futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1002-1038, June.
  29. Harshit Mishra & Parama Barai, 2024. "Entropy Augmented Asset Pricing Model: Study on Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 81-99, March.
  30. Goodman, Aaron & Puri, Indira, 2025. "Overvaluing simple bets: Evidence from the options market," Journal of Financial Economics, Elsevier, vol. 172(C).
  31. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
  32. Chang, Hsuan-Ling & Nie, Wei-Ying & Chang, Li-Han & Cheng, Hung-Wen & Yen, Kuang-Chieh, 2023. "Cryptocurrency Momentum and VIX premium," Finance Research Letters, Elsevier, vol. 57(C).
  33. Driessen, Joost & Koëter, Joren & Wilms, Ole, 2025. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks," Other publications TiSEM 18d19e20-6d30-4828-9a8e-9, Tilburg University, School of Economics and Management.
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