Goshima, Keiichi; Ishijima, Hiroshi; Shintani, Mototsugu - 2021
Because options on 10-year Japanese government bonds (JGB) futures are relatively new in the market, their implied volatility, JGB-VIX, is not available before 2007. For the period when JGB-VIX is available, we conduct supervised learning by using the daily newspaper articles as input and...