Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

CL Chang, T-L (Tai-Lin) Hsieh, Michael McAleer

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

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Original languageEnglish
Place of PublicationRotterdam
Number of pages63
EditionEconometric Institute Research Papers EI2018-37
Publication statusPublished - 2018

Research programs

  • ESE - E&MS

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