Data for: An Analytical Formula for Vix Futures and Its Applications: Error Corrections and Replication

Name: Data for: An Analytical Formula for Vix Futures and Its Applications: Error Corrections and Replication
Creator: Qiang Liu
Published: 2019-05-10T10:35:34.473Z
Keywords: Derivative Pricing

Liu, Qiang; Guo, Shuxin

doi:10.17632/pzbxdmhz4p.1

Data for: An Analytical Formula for Vix Futures and Its Applications: Error Corrections and Replication

Published: 10 May 2019| Version 1 | DOI: 10.17632/pzbxdmhz4p.1

Contributors:

Qiang Liu, Shuxin Guo

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Daily VIX futures price data, download from CBOE, processed and used to generate summary statistics in Table II.

Data for: An Analytical Formula for Vix Futures and Its Applications: Error Corrections and Replication

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