Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

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Original language	English
Place of Publication	Rotterdam
Publisher	Econometric Institute, Erasmus University Rotterdam
Number of pages	63
Edition	Econometric Institute Research Papers EI2018-37
Publication status	Published - 2018

Research programs

@book{467e6c7dbaee4515aafcb1f0e61e45d0,

title = "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK",

author = "CL Chang and Hsieh, \{T-L (Tai-Lin)\} and Michael McAleer",

year = "2018",

language = "English",

publisher = "Econometric Institute, Erasmus University Rotterdam",

address = "Netherlands",

edition = "Econometric Institute Research Papers EI2018-37",

}