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Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Spot variance components as the conditional variance paths within the GARCH, ARV and GARV models. We treat January 1, 2000 to December 31, 2017 as the in‐sample and January 1, 2018 to December 31,...
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description VIX futures and its closed‐form pricing through an affine GARCH model with realized varianceWANG and WANG - Journal of Futures MarketsJ Futures Markets vol. 41, January 2021
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets -
Description Table
Article Title: VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
Publication Title: Journal of Futures Markets