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Subject
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Yield curve 2 Zinsstruktur 2 hidden factor 2 Derivat 1 Derivative 1 Forecasting model 1 Prognoseverfahren 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Theorie 1 Theory 1 VIX futures 1 Volatility 1 Volatilität 1 dynamic term structure model 1 forecasting 1 loss function 1 macro risks 1 state variables 1 term structure 1
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Undetermined 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2
Author
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Doshi, Hitesh 1 Jacobs, Kris 1 Liu, Rui 1 Yang, Xinglin 1
Published in...
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Management science : journal of the Institute for Operations Research and the Management Sciences 1 The journal of futures markets 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Unspanned macro risks in VIX futures
Yang, Xinglin - In: The journal of futures markets 43 (2023) 9, pp. 1305-1328
Persistent link: https://www.econbiz.de/10014339416
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Information in the term structure : a forecasting perspective
Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 5255-5277
Persistent link: https://www.econbiz.de/10012625107
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