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Search: subject:"VIX term structure"
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ECONIS (ZBW)
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Real activity and uncertainty shocks : the long and the short of it
Krogh, Mathias Sjøgreen
;
Pellegrino, Giovanni
-
2024
-
This version: February 14, 2024
Persistent link: https://www.econbiz.de/10014517579
Saved in:
2
Empirical performance of component GARCH models in pricing
VIX
term
structure
and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
3
VIX
term
structure
forecasting : new evidence based on the realized semi-variances
Qiao, Gaoxiu
;
Jiang, Gongyue
;
Yang, Jiyu
- In:
International review of financial analysis
82
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013431317
Saved in:
4
Future portfolio returns and the
VIX
term
structure
Aharon, David Yechiam
;
Dimpfl, Thomas
- In:
Journal of risk
24
(
2022
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
Saved in:
5
Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu
;
Zhu, Yingzi
- In:
Management science : journal of the Institute for …
61
(
2015
)
2
,
pp. 413-430
Persistent link: https://www.econbiz.de/10010490848
Saved in:
6
VIX option pricing and CBOE
VIX
Term
Structure
: A new methodology for volatility derivatives valuation
Lin, Yueh-Neng
- In:
Journal of Banking & Finance
37
(
2013
)
11
,
pp. 4432-4446
This study integrates CBOE
VIX
Term
Structure
and VIX futures to simplify VIX option pricing in multifactor models …
Persistent link: https://www.econbiz.de/10010703250
Saved in:
7
VIX option pricing and CBOE
VIX
Term
Structure
: a new methodology for volatility derivatives valuation
Lin, Yueh-neng
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020
Saved in:
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