The role of the conditional skewness and kurtosis in VIX index valuation
Year of publication: |
March 2017
|
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Authors: | Lalancette, Simon ; Simonato, Jean-Guy |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 23.2017, 2, p. 325-354
|
Subject: | VIX | GARCH | skewness | kurtosis | risk-neutral valuation | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
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