Is the variance swap rate affine in the spot variance? : evidence from S&P500 data
M.E. Mancino, S. Scotti and G. Toscano
| Year of publication: |
2020
|
|---|---|
| Authors: | Mancino, M. E. ; Scotti, S. ; Toscano, G. |
| Subject: | exponential affine models | exponential mean-reverting variance models | polynomial models | spot variance | Variance swap | Volatilität | Volatility | Swap | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1847671 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012425324