Changing VVIX Characteristics in US Stock Market
The research explores the features of Cboe’s volatility-of-volatility index, showing strong mean reversion, distinct jumps, and a significant upward trend due to higher VIX variation and vol-of-vol risk premium.
Featured in No. 29 on 13 Dec 2023 ·
- Released
- 12 Mar 2023
- First featured
- No. 29 · 13 Dec 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 3
- Identifier
- SSRN 4657588
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