| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10444 |
| DP10444 Volatility-related exchange traded assets: an econometric investigation | |
| ENRIQUE SENTANA; Javier Mencía | |
| 发表日期 | 2015-03-01 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We compare Semi-Nonparametric expansions of the Gamma distribution with alternative Laguerre expansions, showing that they substantially widen the range of feasible moments of positive random variables. Then, we combine those expansions with a component version of the Multiplicative Error Model to capture the mean reversion typical in positive but stationary financial time series. Finally, we carry out an empirical application in which we compare various asset allocation strategies for Exchange Traded Notes tracking VIX futures indices, which are increasingly popular but risky financial instruments. We show the superior performance of the strategies based on our econometric model. |
| 主题 | Financial Economics |
| 关键词 | Density expansions Exchange traded notes Multiplicative error model Volatility index futures |
| URL | https://cepr.org/publications/dp10444 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539276 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA,Javier Mencía. DP10444 Volatility-related exchange traded assets: an econometric investigation. 2015. |
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