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Variance term structure and VIX futures pricing
Zhu, Yingzi; Zhang, Jin E. - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
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Volatility components : the term structure dynamics of VIX futures
Lu, Zhongjin; Zhu, Yingzi - In: The journal of futures markets 30 (2010) 3, pp. 230-256
Persistent link: https://www.econbiz.de/10003962468
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Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430
Persistent link: https://www.econbiz.de/10010490848
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E-Arch model for implied volatility term structure of FX options
Zhu, Yingzi; Avellaneda, Marco - 1999
Persistent link: https://www.econbiz.de/10001491262
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Volatility Components : The Term Structure Dynamics of VIX Futures
Lu, Zhongjin - 2010
In this paper we empirically study the variance term structure using VIX futures market. We first derive a new pricing framework for VIX futures that is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and Maximum Likelihood method for model...
Persistent link: https://www.econbiz.de/10013144105