Volatility Risk and Volatility‐of‐Volatility Risk: State‐Dependent Correlations Between VIX and the S&P 500 Stock Index and Hedging Effectiveness

C-Tier

Journal: Journal of Futures Markets

Year: 2025

Volume: 45

Issue: 11

Pages: 2166-2185

Authors (2)

Leon Li (University of Waikato) Carl R. Chen (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count