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U.S. Stock Returns and VIX Futures Curve

Todd Feldman, Alan Jung and Shengle Lin
The Journal of Wealth Management Fall 2018, 21 (2) 107-117; DOI: https://doi.org/10.3905/jwm.2018.21.2.107
Todd Feldman
is an associate professor in the Finance Department at San Francisco State University in San Francisco, CA
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Alan Jung
is associate vice president of Academic Resources at San Francisco State University in San Francisco, CA
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Shengle Lin
is an assistant professor in the Finance Department at San Francisco State University in San Francisco, CA
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Abstract

The authors investigate the question of whether the VIX futures term structure curve can detect inflection points in the U.S. stock market. They find that transformations of the slope of the VIX futures term structure, such as exponential moving average of past slopes, curvature, and polynomial fitting, outperform the simple slope and can be used as factors to improve probabilistic models that predict downturns in the U.S. stock market.

TOPICS: Futures and forward contracts, statistical methods, performance measurement

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The Journal of Wealth Management: 21 (2)
The Journal of Wealth Management
Vol. 21, Issue 2
Fall 2018
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U.S. Stock Returns and VIX Futures Curve
Todd Feldman, Alan Jung, Shengle Lin
The Journal of Wealth Management Jul 2018, 21 (2) 107-117; DOI: 10.3905/jwm.2018.21.2.107

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U.S. Stock Returns and VIX Futures Curve
Todd Feldman, Alan Jung, Shengle Lin
The Journal of Wealth Management Jul 2018, 21 (2) 107-117; DOI: 10.3905/jwm.2018.21.2.107
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