16-010/III - Connecting VIX and Stock Index ETF

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Tai-Lin Hsieh, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain.
• Publication date
  February 15, 2016

• Keywords
  Stock market indexes, Exchange Traded Funds, Volatility Index (VIX), Vector autoregressions, moving average processes, conditional heteroskedasticity, diagonal BEKK
• JEL
  C32, C58, G12, G15