On the right jump tail inferred from the VIX market
Year of publication: |
2023
|
---|---|
Authors: | Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 86.2023, p. 1-19
|
Subject: | Return predictability | Jump tail risk | Variance risk premium | VIX derivatives | Kapitaleinkommen | Capital income | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | Derivat | Derivative |
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