Hedge funds: A dynamic industry in transition

M Getmansky, PA Lee, AW Lo - Annual Review of Financial …, 2015 - annualreviews.org
The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

VIX futures and options: A case study of portfolio diversification during the 2008 financial crisis

E Szado - The Journal of Alternative Investments, 2009 - search.proquest.com
Abstract In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough.
Many assets which are typically considered effective equity diversifiers also faced …

Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX

S Hilal, SH Poon, J Tawn - Journal of Banking & Finance, 2011 - Elsevier
The recent financial crisis has accentuated the fact that extreme outcomes have been
overlooked and not dealt with adequately. While extreme value theories have existed for a …

Implied volatility indices: A review and extension in the Turkish case

A Sensoy, J Omole - International Review of Financial Analysis, 2018 - Elsevier
We re-visit the model-free methodology of the new VIX, and review how its counterparts are
estimated empirically across the world. Then, we modify its parameter selection procedure …

Consistent modeling of S&P 500 and VIX derivatives

YN Lin, CH Chang - Journal of Economic Dynamics and Control, 2010 - Elsevier
This study introduces a model that identifies relationships between stylized features on S&P
500, VIX and derivatives on VIX. The paper considers a specification with discontinuous …

The linkage between the US “fear index” and ADR premiums under non-frictionless stock markets

OA Esqueda, Y Luo, DO Jackson - Journal of Economics and Finance, 2015 - Springer
This paper examines the effects of the US investor sentiment on American depository
receipts (ADR) premiums by using daily prices of Latin American ADRs from 1995 to 2009 …

The VIX index under scrutiny of machine learning techniques and neural networks

A Hirsa, J Osterrieder, BH Misheva, W Cao… - arXiv preprint arXiv …, 2021 - arxiv.org
The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the
market's expected volatility on the SP 500 Index, calculated and published by the Chicago …

[HTML][HTML] Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures

R Zghal, A Ghorbel, M Triki - Borsa Istanbul Review, 2018 - Elsevier
In this paper, the time-varying correlations are estimated for the purpose of examining
whether CDS can act as a hedge and safe haven for the European stock sectors. Similarly …

Volatility as an asset class: Holding VIX in a portfolio

JS Doran - Journal of Futures Markets, 2020 - Wiley Online Library
Hedging market downturns without sacrificing upside has long been sought by investors. If
VIX was directly investable, adding it as a hedge to the S&P 500 would result in significantly …

Hedge fund performance using scaled Sharpe and Treynor measures

F Van Dyk, G Van Vuuren… - International Business & …, 2014 - clutejournals.com
The Sharpe ratio is widely used as a performance measure for traditional (ie, long only)
investment funds, but because it is based on mean-variance theory, it only considers the first …