Dissecting the tracking performance of regular and leveraged VIX ETPs

DOI10.1007/s11147-018-9149-7zbMath1415.91291OpenAlexW2898619534MaRDI QIDQ2423929

Xiaoqing Eleanor Xu, Hongfei Tang

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

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

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Path-Dependence of Leveraged ETF Returns