Dissecting the tracking performance of regular and leveraged VIX ETPs

DOI10.1007/S11147-018-9149-7MaRDI QIDQ2423929zbMATH OpenOpenAlexWikidataFDO

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

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)

Recommendations

• Leveraged ETF implied volatilities from ETF dynamics
• Path-dependence of leveraged ETF returns
• The dynamics of leveraged ETFs returns: a panel data study
• VIX versus VXX: a joint analytical framework
• Implied volatility of leveraged ETF options
• Tracking volatility
• VIX futures term structure and the expectations hypothesis
• Analysis of VIX markets with a time-spread portfolio
• VIX derivatives, hedging and vol-of-vol risk
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

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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