Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
The volatility risk premium in volatility and options, studied in a 2014 paper. The abstract mentions a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design a simple strategy to invest in VIX index futures and S&P500.”
AssetVolatility and optionsfutures, indices
StrategyVolatility risk premium
GeographyUS
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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