Lin, Yueh-Neng; Chang, Chien-Hung - In: Journal of Economic Dynamics and Control 34 (2010) 11, pp. 2302-2319
This study introduces a model that identifies relationships between stylized features on S&P 500, VIX and derivatives on VIX. The paper considers a specification with discontinuous correlated jumps in stock prices and stock price volatility with state-dependent arrival intensity, and examines...