Language:
English
繁體中文
Help
Login
Back
Switch To:
Labeled
|
MARC Mode
|
ISBD
Three Essays on the VIX Index.
~
ProQuest Information and Learning Co.
Three Essays on the VIX Index.
Record Type:
Language materials, manuscript : Monograph/item
Title/Author:
Three Essays on the VIX Index./
Author:
Arnatt, Richard Anthony.
Description:
1 online resource (145 pages)
Notes:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Contained By:
Dissertation Abstracts International79-10A(E).
Subject:
Finance. -
Online resource:
click for full text (PQDT)
ISBN:
9780438040137
Three Essays on the VIX Index.
Arnatt, Richard Anthony.
Three Essays on the VIX Index.
- 1 online resource (145 pages)
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Thesis (Ph.D.)--The University of Alabama, 2018.
Includes bibliographical references
This dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange's (CBOE) index representing S&P 500 Index implied volatility.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780438040137Subjects--Topical Terms:
559073
Finance.
Index Terms--Genre/Form:
554714
Electronic books.
Three Essays on the VIX Index.
LDR
:03431ntm a2200361Ki 4500
001
917096
005
20181005115848.5
006
m o u
007
cr mn||||a|a||
008
190606s2018 xx obm 000 0 eng d
020
$a
9780438040137
035
$a
(MiAaPQ)AAI10747736
035
$a
(MiAaPQ)alatus:13407
035
$a
AAI10747736
040
$a
MiAaPQ
$b
eng
$c
MiAaPQ
$d
NTU
100
1
$a
Arnatt, Richard Anthony.
$3
1191029
245
1 0
$a
Three Essays on the VIX Index.
264
0
$c
2018
300
$a
1 online resource (145 pages)
336
$a
text
$b
txt
$2
rdacontent
337
$a
computer
$b
c
$2
rdamedia
338
$a
online resource
$b
cr
$2
rdacarrier
500
$a
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
500
$a
Adviser: Robert E. Brooks.
502
$a
Thesis (Ph.D.)--The University of Alabama, 2018.
504
$a
Includes bibliographical references
520
$a
This dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange's (CBOE) index representing S&P 500 Index implied volatility.
520
$a
The first essay looks at the performance of VIX-related Exchange Traded Notes (ETN). These instruments benchmarked to futures prices are designed to give exposure to stock market volatility. Performance has been poor, owing to the upward sloping nature of the VIX futures curve. The introduction of the notes appears to have coincided with a fundamental change in the pricing of VIX futures, resulting in a steeper futures curve and worse performance for ETNs than would have occurred previously. A strategy of carrying out the reverse of the trades represented by the underlying benchmark is shown to be profitable. The extent to which ETN managers cover their positions appears correlated with the slope of the futures curve.
520
$a
The second essay asks if volatility indices predict realized volatility. I find that the VIX Index tends to overstate subsequent realized S&P 500 Index volatility and shows mild predictive value. The VVIX Index, a measure of VIX Index implied volatility, tends to understate realized VIX Index volatility and has little predictive value. I demonstrate that the volatility indices do not, however, by construction, directly reflect interperiod volatility as measured by standard deviation.
520
$a
The third essay looks at the problem of analyzing futures prices in the specific case of the VIX Index. The maturity of futures contracts change continuously, which poses problems for assessing notional futures prices of specified maturity and the shape of the futures curve. Benchmarks for VIX-related ETNs use linear interpolation of the futures prices nearest to the desired maturity to provide a notional value for a futures contract of 30 or 90 days duration. I show that this does not reflect the true shape of the futures curve. I apply a method designed by Charles Nelson and Andrew Siegel for modeling yield curves to the VIX futures term structure. This gives a better estimate for prices of notional contracts of specific maturity than linear interpolation, and reflects the non-linear, asymptotic nature of the futures curve.
533
$a
Electronic reproduction.
$b
Ann Arbor, Mich. :
$c
ProQuest,
$d
2018
538
$a
Mode of access: World Wide Web
650
4
$a
Finance.
$3
559073
655
7
$a
Electronic books.
$2
local
$3
554714
690
$a
0508
710
2
$a
ProQuest Information and Learning Co.
$3
1178819
710
2
$a
The University of Alabama.
$b
Finance.
$3
1191030
773
0
$t
Dissertation Abstracts International
$g
79-10A(E).
856
4 0
$u
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10747736
$z
click for full text (PQDT)
based on 0 review(s)
Multimedia
Reviews
Add a review
and share your thoughts with other readers
Export
pickup library
Processing
...
Change password
Login