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@inproceedings{Luo2012TheTS, title={The Term Structure of VIX}, author={Xingguo Luo and Jin E. Zhang}, year={2012} }

- Published 2012
DOI:10.1002/fut.21572

We extend the concept of CBOE constant 30-day VIX to other maturities and construct daily VIX term structure data from starting date available to August 2009. We propose a simple yet powerful two-factor stochastic volatility framework for VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of VIXs and generating rich cross-sectional shape of the term structure. In particular, we show that the two time-varying factors may be interpreted as… CONTINUE READING

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