[HTML][HTML] Hedging performance of volatility index futures: a partial cointegration approach
HC Lee, D Lien, HJ Sheu - Review of Quantitative Finance and …, 2023 - Springer
Abstract Using the Clegg–Krauss framework, this paper first examines a partial cointegration
relationship between stock index futures and VIX futures prices and then constructs a …
relationship between stock index futures and VIX futures prices and then constructs a …