Has the VIX index been manipulated?-Reference-Cited by-同舟云学术

Has the VIX index been manipulated?

Published:2018-12-27 Issue:1 Volume:20 Page:1-14
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Saha Atanu^ORCID,Malkiel Burton G.,Rinaudo Alex

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

http://link.springer.com/article/10.1057/s41260-018-00102-4/fulltext.html

Reference22 articles.

1. Abelson, M., and J. Weisenthal. 2018. An inventor of the VIX: ‘I Don’t Know Why These Products Exist’. Bloomberg, 6 February. https://www.bloomberg.com/news/articles/2018-02-06/an-inventor-of-the-vix-i-don-t-know-why-these-products-exist . Accessed 14 June 2018.

2. Abrantes-Metz, R.M., G. Rauterberg, and A. Verstein. 2013. Revolution in Manipulation Law: The New CFTC Rules and the Urgent Need for Economic and Empirical Analyses. University of Pennsylvania Journal of Business Law 15(2): 357–418.

3. Bartlett, M.S. 1937. Properties of Sufficiency and Statistical Tests. Proceedings of the Royal Society, Series A 160: 268–282.

4. CBOE Exchange. 2018. White Paper: CBOE Volatility Index. CBOE report. https://www.cboe.com/micro/vix/vixwhite.pdf . Accessed 14 June 2018.

5. Chow, K.V., W. Jiang, and J. Li. 2018. Does VIX Truly Measure Return Volatility? Working Paper, 24 January 2018. http://www.ssrn.com/abstract-id=2489345 . Accessed 14 June 2018.

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