VIX futures pricing based on high-frequency VIX : a hybrid approach combining SVR with parametric models
Gaoxiu Qiao, Gongyue Jiang
| Year of publication: |
2023
|
|---|---|
| Authors: | Qiao, Gaoxiu ; Jiang, Gongyue |
| Subject: | high-frequency VIX | hybrid pricing | realized semivariances | support vector regression | VIX futures | Volatilität | Volatility | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Index-Futures | Index futures | Regressionsanalyse | Regression analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22439 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339401