• No results found

Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models

N/A
N/A
Protected

Academic year: 2021

Share "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models"

Copied!
23
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Figure 1. The historical performance of the S&P 500 and VIX indexes. Color codes: The S&P 500 is depicted with a blue  line,  the  VIX  index  with  an  orange  one,  the  high  volatility  regime  probability  at  t  is  the  grey  area  and the
Figure 2. The historical performance of the S&P 500 VIX short-term futures and VIX indexes
Table 1. The portfolio assets in each investment scenario.
Table 2. Statistical and performance summary of the three portfolio assets (figures in percentage)
+6

References

Related documents

Year 2006 has witnessed the interest of many international financial institutions such as ABN-Amro, Deutsche Bank and Goldman Sachs in issuing structured products on the

remarks This course is part of the joint national master programme in mathematics. For schedules, course locations and course descriptions see http://www.mastermath.nl.

This study was conducted to characterize local chickens in the northwest of Algeria based on some phenotypic traits and to look at prediction of body weight from

The emphasis at Loughborough and Lancaster is around giving tutors better systems to support students and providing all the data they might need when talking to a student, using it

Physiological age (apical, multi, cold) did not affect the total leaf number except that cold emerged later and thus had lower leaf numbers early in the season; but the important

The Board of Directors shall consist of twenty (20) persons as follows: the District President; the two Vice-Presidents; the District Secretary; the District Treasurer; four

As already noted regarding the outlook for pig meat demand, in western EU Member States the projected increase in poultry domestic use is often supported by population

In an economic and political environment which is characterized by large uncertainties concerning economic prospects and the fear of a potential spreading of the sovereign debt