Kaeck, Andreas; Alexander, Carol - In: International Review of Financial Analysis 28 (2013) C, pp. 46-56
This paper examines the ability of several different continuous-time one- and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented...