On the right jump tail inferred from the VIX market
Zhenxiong Li, Xingzhi Yao, Marwan Izzeldin
| Year of publication: |
2023
|
|---|---|
| Authors: | Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 86.2023, p. 1-19
|
| Subject: | Return predictability | Jump tail risk | Variance risk premium | VIX derivatives | Volatilität | Volatility | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Börsenkurs | Share price | Derivat | Derivative | Welt | World | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102507 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014248409