Volatility-of-Volatility Risk
Volatility-of-Volatility Risk
About this item
Full title
Author / Creator
Publisher
Seattle: Cambridge University Press
Journal title
Language
English
Formats
Publication information
Publisher
Seattle: Cambridge University Press
Subjects
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Scope and Contents
Contents
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other. Delta-hedged index and VIX option returns are...
Alternative Titles
Full title
Volatility-of-Volatility Risk
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2787248889
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2787248889
Other Identifiers
ISSN
0022-1090
E-ISSN
1756-6916
DOI
10.1017/S0022109018001436
