VIX term structure forecasting : new evidence based on the realized semi-variances
Year of publication: |
2022
|
---|---|
Authors: | Qiao, Gaoxiu ; Jiang, Gongyue ; Yang, Jiyu |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 82.2022, p. 1-18
|
Subject: | Economic value | GARCH-type models | MoP strategy | Realized semi-variances | VIX term structure forecasting | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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