Scholarly Thoughts on VIX, Volatility and Everything Else

Tired of being shut out of the latest thinking on implied volatility at Goldman, Credit Suisse or BGI? Think your interests are too narrow and arcane for normal web searches because the type of information you’re looking for is relegated to obscure monthly and quarterly journals? I think I may have a solution, albeit an imperfect one.

Thanks to the omniscient folks at Google, you can cherry pick pearls of wisdom from the leading academic journals across the globe without even having to leave your browser. Google Scholar, which bears the motto, “Stand on the shoulders of giants,” is not to be taken lightly. I asked for articles on VIX and volatility from just the past year and got 53 hits; searching the entire database yielded 693 articles.

A glance at some of the hits reveals articles from the following sources:

• Journal of Futures Markets
• Journal of Portfolio Management
• Journal of Business & Economic Statistics
• Journal of Finance
• Journal of Econometrics
• Journal of Financial and Quantitative Analysis
• Journal of Economic Literature
• Journal of Financial Research
• The Journal of Business
• American Economic Review
• National Bureau of Economic Research

Some of the more intriguing titles from the past year or so that I browsed include:

• Estimating Expected Excess Returns Using Historical and Options-Implied Volatility
• Do Market Timing Hedge Funds Time the Market?
• Stock Market Volatility and the Forecasting Accuracy of Implied Volatility Indices
• The Relationships Between Sentiment, Returns and Volatility
• On the Volatility of Volatility
• The VIX and VXN Volatility Measures: Fear Gauges or Forecasts

Granted, some of these articles require a small fee to be downloaded, but all the titles mentioned above are free. So check out Google Scholar and see what academics are thinking about your favorite arcane guilty pleasures.