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Hedging performance of volatility index futures: a partial cointegration approach

Using the Clegg–Krauss framework, this paper first examines a partial cointegration relationship between stock index futures and [Formula: see text] futures prices and then constructs a hedging strategy based upon this relationship. This paper argues that the stock index futures and the [Formula: se...

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Detalles Bibliográficos
Autores principales: Lee, Hsiu-Chuan, Lien, Donald, Sheu, Her-Jiun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10099034/
http://dx.doi.org/10.1007/s11156-023-01153-4