Day of the Week Effect on VIX: A Parsimonious Representation

Trading and Investing in Volatility Products

“…Many studies examine the empirical properties of the new VIX index. To name just a few: Baba and Sakurai (2011) argue that there are three distinct regimes in the VIX index dynamics; Qadan (2013) and Gonzalez-Perez and Guerrero (2013) investigate the day-of-the week effect on the VIX index and show that Mondays are associated with higher VIX values than other days of the week; and, more recently, Smales (2014) observes a strong negative relationship between changes in VIX and aggregated news sentiment; and Fernandes et al (2014) provide a thorough analysis on the relationship between the VIX index and main financial and macroeconomic factors.…”

Risk management and financial derivatives: An overview

“…The purpose of this special issue on "Risk Management and Financial Derivatives" is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional correlations and volatility spillovers between crude oil and stock index returns (Chang, McAleer and Tansuchat, 2012), pricing exotic options using the Wang transform (Labuschagne and Offwood, 2012), the rise and fall of S&P500 variance futures (Chang, Jimenez-Martin, McAleer and Perez-Amaral, 2012), predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options (Chuang, Huang and Lin, 2012), the performance of commodity trading advisors: a mean-variance-ratio test approach (Bai, Phoon, Wang and Wong, 2012), forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil (Asai and Brugal, 2012), estimating and simulating Weibull models of risk or price durations: an application to ACD models (Allen, Ng and Peiris, 2012), valuation of double trigger catastrophe options with counterparty risk (Jiang, Yang, Liu and Wang, 2012), day of the week effect on the VIX -a parsimonious representation (Gonzalez-Perez and Guerrero, 2012), equity and CDS sector indices: dynamic models and risk hedging (Caporin, 2012), the probability of default in collateralized credit operations (Divino and Rocha, 2012), risk premia in multi-national enterprises (Lutz, 2012), solving replication problems in a complete market by orthogonal series expansion (Dong and Gao, 2012), downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks (Hammoudeh, Araujo Santos and Abdullah Al-Hassan, 2012), and implied Sharpe ratios of portfolios with options: application to Nikkei futures and listed options (Akuzawa and Nishiyama, 2012).…”