Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
S. M. R. K. Samarakoon, Rudra P. Pradhan, Sasikanta Tripathy, Manju Jayakumar
| Year of publication: |
2025
|
|---|---|
| Authors: | Samarakoon, S. M. R. K. ; Pradhan, Rudra Prakash ; Tripathy, Sasikanta ; Jayakumar, Manju |
| Subject: | DCC-GARCH | Dynamic Conditional Correlations | Dynamic Connectedness Approach | Index Futures Mispricing | Quantile Regression | Volatility Index | Index-Futures | Index futures | Volatilität | Volatility | ARCH-Modell | ARCH model | EU-Staaten | EU countries | Korrelation | Correlation | Aktienindex | Stock index |
freely available