Forecasting realized volatility : new evidence from time-varying jumps in VIX
Year of publication: |
2022
|
---|---|
Authors: | Dutta, Anupam ; Das, Debojyoti |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 12, p. 2165-2189
|
Subject: | VIX | HAR model | jump intensity | jump size | volatility forecasts | volatility jumps | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
-
Papavassiliou, Vassilios G., (2016)
-
Zhang, Weiwei, (2021)
-
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S., (2015)
- More ...
-
Tiwari, Aviral Kumar, (2019)
-
In search of time-varying jumps during the turmoil periods : evidence from crude oil futures markets
Dutta, Anupam, (2022)
-
Das, Debojyoti, (2023)
- More ...