A markov-switching VSTOXX trading algorithm for enhancing EUR stock portfolio performance

Article

Abstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures di

Palabras claves:

Active stock trading, Algorithmic trading, Markov-Switching GARCH, Volatility futures, Volatility hedging; active portfolio management, VSTOXX, VSTOXX futures trading

Autores:

Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.

Fuentes:

scopus