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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10099034/ http://dx.doi.org/10.1007/s11156-023-01153-4 |