Has the VIX index been manipulated?
Recently, an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements in...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Palgrave Macmillan
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |