VIX futures pricing based on high-frequency VIX : a hybrid approach combining SVR with parametric models
Gaoxiu Qiao, Gongyue Jiang
| Year of publication: |
2023
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|---|---|
| Authors: | Qiao, Gaoxiu ; Jiang, Gongyue |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 9, p. 1238-1260
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| Subject: | high-frequency VIX | hybrid pricing | realized semivariances | support vector regression | VIX futures | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | 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