A multifactor transformed diffusion model with applications to VIX and VIX futures
Ruijun Bu, Fredj Jawadi, and Yuyi Li
| Year of publication: |
2020
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|---|---|
| Authors: | Bu, Ruijun ; Jawadi, Fredj ; Li, Yuyi |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 1, p. 27-53
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| Subject: | CC13 | Kalman filter | latent factor | nonlinear diffusion | Transformation model | volatility index | Volatilität | Volatility | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Innovationsdiffusion | Innovation diffusion | Stochastischer Prozess | Stochastic process | Theorie | Theory | Index | Index number | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2019.1690195 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181537