Hedging performance of volatility index futures : a partial cointegration approach
Hsiu-Chuan Lee, Donald Lien, Her-Jiun Sheu
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Hsiu-chuan ; Lien, Da-hsiang Donald ; Sheu, Her-jiun |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 61.2023, 1, p. 265-294
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| Subject: | Hedging effectiveness | Historical high | Partial cointegration | Stock index futures prices | VIX futures | Hedging | Index-Futures | Index futures | Kointegration | Cointegration | Volatilität | Volatility | Derivat | Derivative | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-023-01153-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342031