Dissecting the tracking performance of regular and leveraged VIX ETPs

DOI10.1007/S11147-018-9149-7zbMATH Open1415.91291OpenAlexW2898619534WikidataQ129000296 ScholiaQ129000296MaRDI QIDQ2423929FDOQ2423929

Authors: Hongfei Tang, Xiaoqing Eleanor Xu 

Publication date: 21 June 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-9149-7

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• Analysis of VIX markets with a time-spread portfolio
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• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

zbMATH Keywords

VIXtracking performancecompounding effectfutures term structureleveraged ETPs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Path-dependence of leveraged ETF returns

Cited In (1)

• Statistics of VIX futures and applications to trading volatility exchange-traded products

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