Dynamics in the VIX complex
研究了VIX、VIX期货期限结构和VIX交易所交易产品之间的动态相互作用，发现VIX ETPs影响VIX期货期限结构但不影响VIX本身。
Abstract This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange‐traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.