Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite I...

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Bibliographic Details
Main Authors: Chia-Lin Chang, Tai-Lin Hsieh, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Journal of Risk and Financial Management
Subjects:
stock market indexes
exchange-traded funds
volatility Index (VIX)
global financial crisis
vector autoregressions
moving average processes
conditional heteroskedasticity
diagonal BEKK
Online Access:http://www.mdpi.com/1911-8074/11/4/58

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http://www.mdpi.com/1911-8074/11/4/58

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