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- W3125771711 abstract "This article describes the primary uses of the VIX index in the financial literature, offering for the first time a joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the investor “fear” gauge due to its significant and negative relationship with S&P 500 return dynamics, which justifies its use as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1)a financial product to hedge a portfolio against volatility risk; (2)a market risk measure used to analyze risk flows from financial markets and to relate private and public risks; and (3)a volatility measure to estimate the spot volatility dynamics, the volatility risk premium and volatility jumps. This survey offers an entre for researchers who consider VIX as a proxy for volatility and/or risk." @default.
- W3125771711 created "2021-02-01" @default.
- W3125771711 creator A5045873036 @default.
- W3125771711 date "2015-11-01" @default.
- W3125771711 modified "2023-10-01" @default.
- W3125771711 title "Model-free volatility indexes in the financial literature: A review" @default.
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