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Continuous-time VIX dynamics : on the role of stochastic volatility of volatility
Kaeck, Andreas; Alexander, Carol - In: International review of financial analysis 28 (2013), pp. 46-56
Persistent link: https://www.econbiz.de/10009762709
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Price discovery and microstructure in ether spot and derivative markets
Alexander, Carol; Choi, Jaehyuk; Massie, Hamish R. A.; … - In: International review of financial analysis 71 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012435768
Cover Image
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
Kaeck, Andreas; Alexander, Carol - In: International review of financial analysis 28 (2013), pp. 46-56
Persistent link: https://www.econbiz.de/10010123264