Volatility-Related Exchange Traded Assets: An Econometric Investigation
| Autor: | Enrique Sentana, Javier Mencia |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Density Expansions
Exchange Traded Notes Multiplicative Error Model Volatility Index Futures Statistics and Probability Economics and Econometrics 050208 finance Financial instrument 05 social sciences Covariance jel:C16 Conditional expectation jel:G13 01 natural sciences Density expansions exchange traded notes multiplicative error model volatility index futures 010104 statistics & probability Econometric model 0502 economics and business Gamma distribution Econometrics Economics Laguerre expansion 0101 mathematics Statistics Probability and Uncertainty Volatility (finance) Futures contract Social Sciences (miscellaneous) |
| Zdroj: | Journal of Business & Economic Statistics. 36:599-614 |
| ISSN: | 1537-2707 0735-0015 |
| DOI: | 10.1080/07350015.2016.1216852 |
| Popis: | We develop a theoretical framework for covariance stationary but persistent positively valued processes which combines a semi-nonparametric expansion of the Gamma distribution with a component version of the multiplicative error model. Our conditional mean assumption allows for slow, possibly nonmonotonic mean-reversion, while our distribution assumption provides more flexibility than a traditional Laguerre expansion while preserving positivity of the density. We apply our framework to a dynamic portfolio allocation for Exchange Traded Notes tracking short- and mid-term VIX futures indices, which are increasingly popular but risky financial instruments. We show the superior performance of the strategies based on our econometric model. |
| Databáze: | OpenAIRE |
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