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Journal of Futures Markets
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Improving volatility prediction and option valuation using VIX information : A volatility spillover GARCH model
Pan, Zhiyuan
;
Wang, Yudong
;
Liu, Li
;
Wang, Qing
- In:
Journal of Futures Markets
39
(
2019
)
6
,
pp. 744-776
Persistent link: https://www.econbiz.de/10012082194
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Realized bipower variation, jump components, and option valuation
Pan, Zhiyuan
;
Wang, Yudong
;
Liu, Li
- In:
Journal of Futures Markets
41
(
2021
)
12
,
pp. 1933-1958
Persistent link: https://www.econbiz.de/10012808304
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