Fernandes, Felipe do Nascimento; Aiube, Fernando … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 3, pp. 31-49
In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou … sample encompassing seven VIX future contracts and also the spot VIX. In the second, we dropped the spot VIX from the sample …