Seeking Alpha

ETF Wanderer_ » Comments » DBO

  • The New Oil Volatility Index: Falling Along With Crude Prices [View article]
    Recent academic works seems to suggest that the negative correlation (of VIX with SPX) is due to non-normality behavior, in particular, the ability of asset prices to jump. For instance, here is a list of two papers from Journal of Finance:

    (1) Eraker, Bjorn., 2004, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, Journal of Finance 59, 1367-1403.

    (2) Eraker, B., M. J. Johannes, and N. G. Polson, 2003, The Impact of Jumps in Returns and Volatility, Journal of Finance 53, 1269-1300.

    Personally, I kind of view these papers as academic junk. Nevertheless, it is interested to see whether similar negative correlation will exist in commodities.

    Too early to tell perhaps. Thanks for the interesting observation.
    Aug 13 10:14 am |Rating: 0 0 |Link to Comment
More on DBO by ETF Wanderer_
Comments by Ticker
ACAS, ADRA, ADRD, ADRE, ADRU, AGG, ALD, ASA, AYT, BBDC, BBH, BDH, BEP, BHH, BIF, BND, BSC, BVL, BVT, BWX, BZF, CEE, CEF, CEW, CHN, CNY, COY, CSWC, DBA, DBB, DBC, DBO, DBV, DCR, DGP, DGT, DIA, DJP, DLN, DOO, DSG, DSV, DVY, ECV, EDF, EEB, EEF, EEM, EFA, EFG,
ETF Wanderer_'s
Comments Stats
33 comments
Rating: 1 (1 is - 0 )