PT  - JOURNAL ARTICLE
AU  - Todd Feldman
AU  - Alan Jung
AU  - Shengle Lin
TI  - U.S. Stock Returns and VIX Futures Curve
AID  - 10.3905/jwm.2018.21.2.107
DP  - 2018 Jul 31
TA  - The Journal of Wealth Management
PG  - 107--117
VI  - 21
IP  - 2
4099  - https://pm-research.com/content/21/2/107.short
4100  - https://pm-research.com/content/21/2/107.full
AB  - 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