This study uses bibliometrics to present a retrospective on the Journal of Futures Markets
(JFM) on its 40th anniversary. The Journal's annual number of publications and citations …

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 …

This study examines the price‐discovery function and information efficiency of a fast growing
volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear …

In this study we present a closed‐form, exact solution for the pricing of VIX futures in a
stochastic volatility model with simultaneous jumps in both the asset price and volatility …

We utilize the respective information share and common factor component weight
approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price …

We apply Markov chain Monte Carlo methods to time series data on S&P 500 index returns,
and to its option prices via a term structure of VIX indices, to estimate 18 different affine and …

Using an extended LHARG model proposed by Majewski et al.(2015, J Econ, 187, 521–
531), we derive the closed‐form pricing formulas for both the Chicago Board Options …

We propose a closed‐form pricing formula for the Chicago Board Options Exchange
Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi …

Considering the asymmetric volatility response to positive and negative shocks, this paper
investigates VIX term structure forecasting by incorporating the realized upside and …

In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30‐
day to any arbitrary time‐to‐maturity, and study the term structure of VIX. We propose new …