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Did the Reform Work? Evidence from VIX Settlement Anomalies

https://doi.org/10.2139/ssrn.3874249
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.21572openalex-extracted
The Term Structure of VIX
inferredcites →https://doi.org/10.1002/fut.21919openalex-extracted
Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
inferredcites →https://doi.org/10.1002/fut.21955openalex-extracted
VIX term structure and VIX futures pricing with realized volatility
inferredcites →https://doi.org/10.1002/fut.22094openalex-extracted
Volatility as an asset class: Holding VIX in a portfolio
inferredcites →https://doi.org/10.1002/wilm.42820030123openalex-extracted
The relationship between implied and realized volatility of S&P 500 index
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.06.014openalex-extracted
Libor manipulation?
inferredcites →https://doi.org/10.1016/j.jbankfin.2014.03.039openalex-extracted
Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.018openalex-extracted
A multiple indicators model for volatility using intra-daily data
inferredcites →https://doi.org/10.1016/j.jfi.2010.03.003openalex-extracted
Measuring Closing Price Manipulation
inferredcites →https://doi.org/10.1016/j.jfineco.2004.10.004openalex-extracted
Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze
inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.008openalex-extracted
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
inferredcites →https://doi.org/10.1016/j.rfe.2013.03.001openalex-extracted
Is gold the best hedge and a safe haven under changing stock market volatility?
inferredcites →https://doi.org/10.1017/s0022109017000825openalex-extracted
Risk Premia and the VIX Term Structure
inferredcites →https://doi.org/10.1057/s41260-018-00102-4openalex-extracted
Has the VIX index been manipulated?
inferredcites →https://doi.org/10.1080/0015198x.2021.1913040openalex-extracted
Volmageddon and the Failure of Short Volatility Products
inferredcites →https://doi.org/10.1080/03085147.2015.1013352openalex-extracted
On arbitration, arbitrage and arbitrariness in financial markets and their governance: unpacking LIBOR and the LIBOR scandal
inferredcites →https://doi.org/10.1086/209650openalex-extracted
Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices
inferredcites →https://doi.org/10.1086/296071openalex-extracted
The Extreme Value Method for Estimating the Variance of the Rate of Return
inferredcites →https://doi.org/10.1086/503652openalex-extracted
Stock Market Manipulations*
inferredcites →https://doi.org/10.1093/rfs/5.3.503openalex-extracted
Stock-Price Manipulation
inferredcites →https://doi.org/10.1093/rfs/hhq085openalex-extracted
What's Vol Got to Do with It
inferredcites →https://doi.org/10.1093/rfs/hhx085openalex-extracted
Manipulation in the VIX?
inferredcites →https://doi.org/10.1093/rfs/hhy062openalex-extracted
The VIX Premium
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/fire.12195openalex-extracted
Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2139/ssrn.3077802openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.3819342openalex-extracted
inferredcites →https://doi.org/10.2307/2328948openalex-extracted
inferredcites →https://doi.org/10.2307/2331322openalex-extracted
Market Manipulation, Bubbles, Corners, and Short Squeezes
inferredcites →https://doi.org/10.3386/w10117openalex-extracted
A Multiple Indicators Model for Volatility Using Intra-Daily Data
inferredcites →https://doi.org/10.3905/jpm.2000.319728openalex-extracted
The Investor Fear Gauge
inferredcites →https://doi.org/10.3905/jpm.2009.35.3.098openalex-extracted
Understanding the VIX
inferredcites →https://doi.org/10.1017/s0022109023000066openalex-snapshot
Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04666.xopenalex-snapshot
Futures Manipulation with "Cash Settlement"
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