Investment Strategies with VIX and VSTOXX Futures
作者： Silvia Stanescu , Radu Tunaru
DOI: 10.2139/SSRN.2351427
关键词: Bond 、 Statistical arbitrage 、 Portfolio 、 Autoregressive conditional heteroskedasticity 、 Financial economics 、 Futures contract 、 Economics 、 Volatility (finance) 、 Stock (geology) 、 Investment strategy
摘要: This study examines historical data on S&P500 and EURO STOXX 50, VIX VSTOXX, VSTOXX futures, to reveal linkages between these important series that can be used by equity investors generate alpha protect their investments during turbulent times. A comparative portfolio performance analysis in the U.S. E.U. zone reveals over time best investment strategy for a stock investor is add both bonds volatility futures portfolio. We also long-short cross border statistical arbitrage pairing index profits using forecasts produced suitable GARCH models.
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