Connecting VIX and stock index ETF with VAR and diagonal BEKK
Year of publication: |
2018
|
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Authors: | Chang, Chia-Lin ; Hsieh, Tai-Lin ; McAleer, Michael |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 11.2018, 4, p. 1-25
|
Publisher: |
Basel : MDPI |
Subject: | Aktienindex | Volatilität | Index | Indexderivat | Kapitalmarktrendite | VAR-Modell | Europa | USA | stock market indexes | exchange-traded funds | volatility Index (VIX) | global financial crisis | vector autoregressions | moving average processes | conditional heteroskedasticity | diagonal BEKK |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm11040058 [DOI] 1047759799 [GVK] hdl:10419/238930 [Handle] |
Classification: | C32 - Time-Series Models ; c58 ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin, (2018)
-
How are VIX and stock index ETF related?
Chang, Chia-Lin, (2016)
-
How are VIX and Stock Index ETF related?
Chang, Chia-Lin, (2016)
- More ...
-
How are VIX and Stock Index ETF related?
Chang, Chia-Lin, (2016)
-
How are VIX and stock index ETF related?
Chang, Chia-Lin, (2016)
-
How are VIX and stock index ETF related?
Chang, Chia-Lin, (2016)
- More ...