Volatility index futures hedging: a cointegration approach
A cointegration approach: The paper explores the relationship between stock index futures and VIX futures prices and suggests a hedging strategy based on this.
Featured in No. 5 on 28 Jun 2023 · on release day
- Released
- 28 Jun 2023
- First featured
- No. 5 · 28 Jun 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 38
- Identifier
- RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).