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Optimal smoothing in nonparametric conditional quantile derivative function estimation
Lin, Wei; Cai, Zongwu; Li, Zheng; Su, Li - In: Journal of econometrics 188 (2015) 2, pp. 502-513
Persistent link: https://www.econbiz.de/10011503661
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Gradient-based bandwidth selection for estimating average derivatives
Li, Cong; Wang, Yanfei - In: Economics letters 140 (2016), pp. 19-22
Persistent link: https://www.econbiz.de/10011615772
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Pricing VIX derivatives with free stochastic volatility model
Lin, Wei; Li, Shenghong; Chern, Shane; Zhang, Jin E. - In: Review of derivatives research 22 (2019) 1, pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
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Pricing VXX options by modeling VIX directly
Lin, Wei; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 5, pp. 888-922
Persistent link: https://www.econbiz.de/10013187612