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Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
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VIX Index Strategies : Shorting Volatility As a Portfolio Enhancing Strategy
Dondoni, Alberto - 2018
implied volatility by using VIX Futures. First, we give a brief introduction to the VIX Index and what it represents. Then we …
Persistent link: https://www.econbiz.de/10012929978
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Index trading and portfolio risk
Kvamvold, Joakim; Lindset, Snorre - In: Journal of economics and finance 41 (2017) 1, pp. 78-99
Persistent link: https://www.econbiz.de/10011795595
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Cary, Dayne; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-21
This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago … Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an …. The SVIX allows traders to graph volatility as a 100% scale on securities that do not have an official CBOE VIX ticker …
Persistent link: https://www.econbiz.de/10014230463
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Strategic trading by index funds and liquidity provision around S&P 500 index additions
Green, Tracy Clifton; Jame, Russell - In: Journal of financial markets 14 (2011) 4, pp. 605-624
Persistent link: https://www.econbiz.de/10009260942
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Is Fundamental Indexation able to time the market? : evidence from the Dow Jones Industrial Average and the Russell 1000
Chen, Doris; Dempsey, Michael; Lajbcygier, Paul - In: Journal of international financial markets, … 37 (2015), pp. 162-177
Persistent link: https://www.econbiz.de/10011475058
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Dynamic indexing and allocation : do they dominate simple static indexing?
McCarthy, Joseph E.; Tower, Edward - 2020
Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another dynamic investment is GMO’s Benchmark...
Persistent link: https://www.econbiz.de/10012607002
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Tracking biased weights: asset pricing implications of value-weighted indexing
Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020
Persistent link: https://www.econbiz.de/10012487379
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Higher-order Omega : a performance index with a decision-theoretic foundation
Bi, Hongwei; Huang, Rachel J.; Tzeng, Larry Y.; Zhu, Wei - In: Journal of banking & finance 100 (2019), pp. 43-57
Persistent link: https://www.econbiz.de/10012162443
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Hedged versus Non-Hedged S&P 500 Index
VanderPal, Geoffrey - 2016
volatility. Since index investing is widely used by many investors and institutions, the study will focus on this type of …
Persistent link: https://www.econbiz.de/10012981391