Volatility risk and volatility-of-volatility risk : state-dependent correlations between vix and the S&P 500 stock index and hedging effectiveness
Leon Li, Carl R. Chen
| Year of publication: |
2025
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|---|---|
| Authors: | Li, Leon ; Chen, Carl R. |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 11, p. 2166-2185
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| Subject: | VIX | state-dependent DCC model | volatility feedback effect | volatility risk | volatility-of-volatility risk | Volatilität | Volatility | Hedging | Aktienindex | Stock index | Risiko | Risk | Korrelation | Correlation | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.70035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015465763