RT Journal Article
SR Electronic
T1 U.S. Stock Returns and VIX Futures Curve
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 107
OP 117
DO 10.3905/jwm.2018.21.2.107
VO 21
IS 2
A1 Todd Feldman
A1 Alan Jung
A1 Shengle Lin
YR 2018
UL https://pm-research.com/content/21/2/107.abstract
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