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Keywords: Causality
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Journal Articles
Journal:
Journal of Accounting Literature
Journal of Accounting Literature (2025) 47 (5): 99–109.
Published: 31 October 2024
...Michael O'Neill; Gulasekaran Rajaguru Purpose The authors analyse the nature of nonlinear long-run causal dynamics between VIX futures and exchange-traded products (ETPs). Design/methodology/approach Nonlinear long-run causal relations between daily price movements in ETPs and futures...
Journal Articles
Journal:
Journal of Accounting Literature
Journal of Accounting Literature (2024) 46 (2): 153–169.
Published: 12 April 2023
...Michael O'Neill; Gulasekaran Rajaguru Purpose The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark. Design/methodology/approach Long-run causal...
