TY  - RPRT
AU  - Chang, Chia-Lin
AU  - Hsieh, Tai-Lin
AU  - McAleer, Michael
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17443
AB  - As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong...
LA  - eng
KW  - Stock market indexes
KW  - Exchange Traded Funds
KW  - Volatility Index (VIX)
KW  - Global Financial Crisis
KW  - Vector Autoregressions
KW  - Moving Average processes
KW  - Conditional Heteroskedasticity
KW  - Diagonal BEKK.
TI  - Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
TY  - technical report
VL  - 2018
ER  -