Under stress events, most of the asset prices tend to be positively correlated, breaking the
diversification benefits. In this study, we explore the performance of different assets …

We present a Bayesian synthetic likelihood method to estimate both the parameters and
their uncertainty in systems of stochastic differential equations. Together with novel summary …

The fairly new VIX ETPs have been promoted for providing effective and easily accessible
diversification, while at the same time having large negative returns. We examine the …

This paper analyzes the relationship between the Equity Market Volatility Index and the nine
S&P 500 sectors indexes, as well as investigating which of the 42 category-specific Equity …

This study explores the dynamic correlations and sensitivities between the daily returns of
the S&P 500, VIX, S&P 500 VIX Short-Term Futures Index, and S&P 500 VIX Mid-Term …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs
with long volatility exposure. We find no evidence supporting that investors consider …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs
with long volatility exposure. We find no evidence supporting that investors consider …

The VIX premium, the difference between VIX futures and VIX Index levels, has been shown
to have predictive power over volatility returns and investment risk. This article examines a …

This dissertation was written in the period September 2017 to August 2020 during my
enrollment as a PhD student at the Department of Economics and Business Economics at …

Derivative products are undoubtedly among the most important financial innovations in
modern history. Since the beginning of the 1970s, derivative markets have seen an …