New approach to estimating VIX truncation errors using corridor variance swaps
Desheng Wu and Tianxiang Liu
| Year of publication: |
2018
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|---|---|
| Authors: | Wu, Desheng ; Liu, Tianxiang |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 25.2018, 4, p. 54-70
|
| Subject: | Schätztheorie | Estimation theory | Swap | Volatilität | Volatility | Schätzung | Estimation | Statistischer Fehler | Statistical error | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011968667