Directly pricing VIX futures with observable dynamic jumps based on high-frequency VIX
Gongyue Jiang, Gaoxiu Qiao, Feng Ma, Lu Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng ; Wang, Lu |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 8, p. 1518-1548
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| Subject: | HAR model | heteroscedasticity effect | observable dynamic jumps | VIX futures pricing | VIX high-frequency data | Volatilität | Volatility | Börsenkurs | Share price | Index-Futures | Index futures | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22344 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013288000