Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Year of publication: |
2023
|
---|---|
Authors: | Cheng, Hung-Wen ; Chang, Li-Han ; Lo, Chien-Ling ; Tsai, Jeffrey Tzuhao |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 122-142
|
Subject: | GARCH | Long-run variance | VIX | VIX futures | VIX term structure | Volatilität | Volatility | ARCH-Modell | ARCH model | Zinsstruktur | Yield curve | Börsenkurs | Share price | Schätzung | Estimation |
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