Hedging performance of volatility index futures: a partial cointegration approach

[1]  Chongwon Kim,et al.  A New Approach to Improving Hedging Performance in the OLS Model , 2022, The Journal of Alternative Investments.

[2]  F. Fabozzi,et al.  A Primer on Hedging with Stock Index Futures , 2022, The Journal of Derivatives.

[3]  Yan Li,et al.  Anomalies and the Expected Market Return , 2020, SSRN Electronic Journal.

[4]  H. Herwartz,et al.  Measuring price discovery in the European wheat market using the partial cointegration approach , 2020 .

[5]  N. Taylor.  Forecasting returns in the VIX futures market , 2019, International Journal of Forecasting.

[6]  Antonios K. Alexandridis,et al.  Hedging performance of multiscale hedge ratios , 2019, Journal of Futures Markets.

[7]  A. Tourani-Rad,et al.  Does Increased Hedging Lead to Decreased Price Efficiency? The Case of VIX Etps and VIX Futures , 2019, Financial Review.

[8]  Matthew Clegg,et al.  Pairs trading with partial cointegration , 2018 .

[9]  Shu‐Lien Chang,et al.  Historical high and stock index returns: Application of the regression kink model , 2018 .

[10]  Wei‐Che Tsai,et al.  An Analysis on the Intraday Trading Activity of VIX Derivatives , 2017 .

[11]  Eunju Lee,et al.  Short Selling Around the 52-Week and Historical Highs , 2017 .

[12]  Robert B. Durand,et al.  Melancholia and Japanese stock returns - 2003 to 2012 , 2016 .

[13]  Robert I. Webb,et al.  On Intraday Relation Between the Vix and Its Futures , 2016 .

[14]  Y. Jung.  A portfolio insurance strategy for volatility index (VIX) futures , 2016 .

[15]  P. Molnár,et al.  VIX Exchange Traded Products: Price Discovery, Hedging and Trading Strategy , 2016 .

[16]  Yu Yuan.  Market-Wide Attention, Trading, and Stock Returns , 2015 .

[17]  Wen-I Chuang,et al.  US and Domestic Market Gains and Asian Investors' Overconfident Trading Behavior , 2014 .

[18]  Zhi Da,et al.  The Sum of All FEARS: Investor Sentiment and Asset Prices , 2013 .

[19]  Jinghong Shu,et al.  Causality in the VIX futures market , 2012 .

[20]  San-Lin Chung,et al.  The diversification effects of volatility-related assets , 2011 .

[21]  Shiu‐Sheng Chen.  Lack of consumer confidence and stock returns , 2011 .

[22]  John Cotter,et al.  An Empirical Analysis of Dynamic Multiscale Hedging Using Wavelet Decomposition , 2011, 1103.4943.

[23]  Jun Li,et al.  Investor Attention, Psychological Anchors, and Stock Return Predictability , 2010 .

[24]  Robert A. Connolly,et al.  Regime‐switching in stock index and Treasury futures returns and measures of stock market stress , 2009 .

[25]  R. Whaley.  Understanding the VIX , 2009, The Journal of Portfolio Management.

[26]  H. Levy,et al.  Sentiment and Stock Prices: The Case of Aviation Disasters , 2008 .

[27]  Carol Alexander,et al.  Effectiveness of Minimum-Variance Hedging , 2007 .

[28]  D. Hendry,et al.  Co-Integration and Error Correction : Representation , Estimation , and Testing , 2007 .

[29]  René M. Stulz,et al.  Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries , 2005 .

[30]  Cheng-Few Lee,et al.  An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios , 2004 .

[31]  Zhijie Xiao.  Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative , 2001 .

[32]  Robert E. Whaley,et al.  The Investor Fear Gauge , 2000 .

[33]  K. Hadri.  Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root In Panel Data With Serially Correlated Errors , 1999 .

[34]  Thomas H. McCurdy,et al.  Hedging Foreign Currency Portfolios , 1998 .

[35]  P. Perron,et al.  Computation and Analysis of Multiple Structural-Change Models , 1998 .

[36]  S. Johansen.  Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models , 1991 .

[37]  S. Johansen.  STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .

[38]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[39]  W. Fuller,et al.  LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .

[40]  W. Fuller,et al.  Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .