Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Hung-Wen Cheng, Li-Han Chang, Chien-Ling Lo, Jeffrey Tzuhao Tsai
| Year of publication: |
2023
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|---|---|
| Authors: | Cheng, Hung-Wen ; Chang, Li-Han ; Lo, Chien-Ling ; Tsai, Jeffrey Tzuhao |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 122-142
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| Subject: | GARCH | Long-run variance | VIX | VIX futures | VIX term structure | ARCH-Modell | ARCH model | Volatilität | Volatility | Zinsstruktur | Yield curve | Börsenkurs | Share price | Index-Futures | Index futures | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.03.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014476812