Modeling and forecasting the CBOE VIX with the TVP-HAR model
Wen Xu, Pakorn Aschakulporn, Jin E. Zhang
| Year of publication: |
2025
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|---|---|
| Authors: | Xu, Wen ; Aschakulporn, Pakorn ; Zhang, Jin E. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 5, p. 1638-1657
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| Subject: | CBOE VIX | time-varying parameters | TVP-HAR model | volatility modeling and forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Optionsgeschäft | Option trading | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3260 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464704