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Causality in the VIX futures market. (2012). Zhang, Jin E. ; Shu, Jinghong .
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:32:y:2012:i:1:p:24-46.

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  1. The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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  2. Trading activity of VIX futures and options around FOMC announcements. (2024). Yang, Jimmy J ; Tsai, Wei-Che ; Huang, Hong-Gia.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539.

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  3. Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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  4. Hedging performance of volatility index futures: a partial cointegration approach. (2023). Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4.

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  5. The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. (2023). Apergis, Nicholas ; Malik, Shafaq ; Mustafa, Ghulam.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:89:y:2023:i:c:p:27-35.

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  6. Dynamics in the VIX complex. (2022). Posselt, Anders Merrild.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1665-1687.

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  7. Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann.
    In: CREATES Research Papers.
    RePEc:aah:create:2022-06.

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  8. Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54.

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  9. Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather. (2021). Finta, Marinela Adriana.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100069x.

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  10. Tracking performance of VIX futures ETPs. (2021). Zhang, Jin E ; Gehricke, Sebastian A.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117.

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  11. Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17.

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  12. Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

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  13. Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:6:p:841-859.

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  14. Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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  15. Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

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  16. Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun.
    In: Economic Systems.
    RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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  17. Time-dependent lead-lag relationships between the VIX and VIX futures markets. (2020). Shao, Ying-Hui ; Yang, Yan-Hong.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300930.

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  18. Long‐term dynamics of the VIX index and its tradable counterpart VXX. (2019). Molnár, Peter ; Bata, Milan ; Molnar, Peter.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:3:p:322-341.

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  19. Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators. (2019). Palladini, Fabio ; Guizzardi, Andrea ; Ballestra, Luca Vincenzo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1250-1262.

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  20. Forecasting returns in the VIX futures market. (2019). Taylor, Nick.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210.

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  21. Time-dependent lead-lag relationships between the VIX and VIX futures markets. (2019). Shao, Ying-Hui ; Yang, Yan-Hong.
    In: Papers.
    RePEc:arx:papers:1910.13729.

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  22. VIX derivatives valuation and estimation based on closed-form series expansions. (2018). Zhao, Zhe ; Florescu, Ionu ; Cui, Zhenyu.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500202.

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  23. Modeling VXX. (2018). Zhang, Jin E ; Gehricke, Sebastian A.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:8:p:958-976.

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  24. Determinants of intraday price discovery in VIX exchange traded notes. (2018). Frijns, Bart ; Perez, Adrian Fernandeza ; Rad, Alireza Tourania ; Gafiatullina, Ilnara.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:5:p:535-548.

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  25. An analysis on the intraday trading activity of VIX derivatives. (2018). Tsai, Weia Che ; Kao, Diana Xuan ; Yen, Kuanga Chieh ; Wang, Yawa Huei.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:2:p:158-174.

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  26. Cointegration and price discovery in US corn cash and futures markets. (2018). Xu, Xiaojie.
    In: Empirical Economics.
    RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1322-6.

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  27. Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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  28. Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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  29. When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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  30. Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach. (2016). Abadie, Luis M ; Polanco-Martinez, Josue M.
    In: Energies.
    RePEc:gam:jeners:v:9:y:2016:i:12:p:1089-:d:85667.

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  31. The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. (2016). Nick, Sebastian.
    In: The Energy Journal.
    RePEc:aen:journl:ej37-2-nick.

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  32. Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159.

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  33. The forecasting performance of implied volatility index: evidence from India VIX. (2014). Padhi, Puja ; Shaikh, Imlak.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:47:y:2014:i:4:p:251-274.

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  34. Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection. (2014). Xu, Xiaojie.
    In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota.
    RePEc:ags:aaea14:169809.

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  35. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:221fefe0-241e-4914-b6bd-c20f50ead2d2.

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  36. Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets. (2013). Nick, Sebastian.
    In: EWI Working Papers.
    RePEc:ris:ewikln:2013_014.

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  37. Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options. (2013). Wang, Chi-Hui ; Huang, Chia-Hsing.
    In: Business and Management Research.
    RePEc:jfr:bmr111:v:2:y:2013:i:3:p:68-80.

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  38. Equity and CDS sector indices: Dynamic models and risk hedging. (2013). Caporin, Massimiliano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:261-275.

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  39. A remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’. (2012). Zhang, Jin E. ; Ibraimi, Meriton ; Leippold, Markus ; Cheng, Jun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:5:p:708-715.

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