Hedging performance of volatility index futures : a partial cointegration approach
Year of publication: |
2023
|
---|---|
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
|
Subject: | Hedging effectiveness | Historical high | Partial cointegration | Stock index futures prices | VIX futures | Hedging | Index-Futures | Index futures | Volatilität | Volatility | Kointegration | Cointegration | Derivat | Derivative | Aktienindex | Stock index |
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