Mencía González, Javier; Sentana, Enrique - 2012
distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, and analyse their pricing performance, and implications for term structures of VIX futures and volatility «skews». We fi … nd that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices …