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The Rise and Fall of S&P500 Variance Futures

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Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-11KIER Discussion Paper795

Available onlineOther Libraries in Japan

Summary, etc....lity in S&P500 3-month variance futures before, during and after the ...
Subject Heading...tionsure swaps 3-month variance futures 12-month variance futures ris...

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