Directly pricing VIX futures with observable dynamic jumps based on high-frequency VIX
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
|
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 |
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