Working Paper

A Corridor Fix for High-Frequency VIX: Developing Coherent Implied Volatility Measures

Author(s)

Torben Gustav Andersen

Oleg Bondarenko

Maria Gonzalez-Perez

Date Published: 2014
Citations: Andersen, Torben Gustav, Oleg Bondarenko, Maria Gonzalez-Perez. 2014. A Corridor Fix for High-Frequency VIX: Developing Coherent Implied Volatility Measures.