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Search: subject:"VIX Futures pricing"
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Börsenkurs
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Index futures
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Index-Futures
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VIX futures pricing
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Volatility
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VIX Futures pricing
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VIX high-frequency data
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heteroscedasticity effect
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observable dynamic jumps
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Jiang, Gongyue
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Ma, Feng
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International review of economics & finance : IREF
1
Journal of banking & finance
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The journal of futures markets
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ECONIS (ZBW)
3
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Pricing VIX futures with mixed frequency macroeconomic information
Yang, Xinglin
;
Shang, Yuhuang
- In:
International review of economics & finance : IREF
93
(
2024
)
1
,
pp. 847-857
Persistent link: https://www.econbiz.de/10014535418
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2
Directly pricing VIX futures with observable dynamic jumps based on high-frequency VIX
Jiang, Gongyue
;
Qiao, Gaoxiu
;
Ma, Feng
;
Wang, Lu
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1518-1548
Persistent link: https://www.econbiz.de/10013288000
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3
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
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