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VIX Futures Return Decomposition.

Ruetz, Michael.

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VIX Futures Return Decomposition.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	VIX Futures Return Decomposition./
作者:	Ruetz, Michael.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
面頁冊數:	83 p.
附註:	Source: Masters Abstracts International, Volume: 81-02.
Contained By:	Masters Abstracts International81-02.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13903034
ISBN:	9781085694674

VIX Futures Return Decomposition.
Ruetz, Michael.

VIX Futures Return Decomposition. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 83 p.

Source: Masters Abstracts International, Volume: 81-02.

Thesis (M.S.)--University of Minnesota, 2019.

This item must not be sold to any third party vendors.

VIX futures contracts have produced negative returns. I develop a method to decompose the daily returns of VIX futures contracts in to the return components of roll down and level. I show that roll down is the largest contributor to the negative returns. The return decomposition analysis is carried out across the VIX futures term structure which includes the one- to six-month VIX futures contracts. I use time series regressions to estimate the beta coefficients of the return components relative to the VIX. The results of the regression analyses are used to create a VIX curve strategy that is combined with the S&P 500 Index.

ISBN: 9781085694674Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Derivatives

VIX Futures Return Decomposition.
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260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 83 p.
500 $a Source: Masters Abstracts International, Volume: 81-02.
500 $a Advisor: Pederson, Glenn.
502 $a Thesis (M.S.)--University of Minnesota, 2019.
506 $a This item must not be sold to any third party vendors.
520 $a VIX futures contracts have produced negative returns. I develop a method to decompose the daily returns of VIX futures contracts in to the return components of roll down and level. I show that roll down is the largest contributor to the negative returns. The return decomposition analysis is carried out across the VIX futures term structure which includes the one- to six-month VIX futures contracts. I use time series regressions to estimate the beta coefficients of the return components relative to the VIX. The results of the regression analyses are used to create a VIX curve strategy that is combined with the S&P 500 Index.
590 $a School code: 0130.
650 4 $a Finance. $3 542899
650 4 $a Economics. $3 517137
653 $a Derivatives
653 $a Implied volatility
653 $a Options
653 $a Term structure
653 $a VIX
690 $a 0508
690 $a 0501
710 2 $a University of Minnesota. $b Applied Economics. $3 1022383
773 0 $t Masters Abstracts International $g 81-02.
790 $a 0130
791 $a M.S.
792 $a 2019
793 $a English
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