VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Qi Wang, Zerong Wang
| Year of publication: |
2020
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|---|---|
| Authors: | Wang, Qi ; Wang, Zerong |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 116.2020, p. 1-22
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| Subject: | GARCH | Realized volatility | VIX Futures pricing | Volatility component | Volatilität | Volatility | ARCH-Modell | ARCH model | Index-Futures | Index futures | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105845 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012489233