Double-jump diffusion model for VIX: evidence from VVIX-Reference-Cited by-同舟云学术

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Double-jump diffusion model for VIX: evidence from VVIX

Published:2016-07-21 Issue:2 Volume:17 Page:227-240
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zang Xin¹,Ni Jun²,Huang Jing-Zhi³,Wu Lan⁴

Affiliation:

1. School of Mathematical Sciences, Peking University, Beijing, 100871P.R. China.

2. Department of Mathematics, Pennsylvania State University, University Park, PA, 16802USA.

3. Department of Finance, The Smeal College of Business, Pennsylvania State University, University Park, PA, 16802USA.

4. Key Laboratory of Mathematical Economics and Quantitative Finance, Peking University, Beijing, 100871P.R. China.

Funder

China Scholarship Council

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1159318

Reference28 articles.

1. Maximum likelihood estimation of stochastic volatility models

2. Stochastic Volatility of Volatility and Variance Risk Premia

3. Deviance Information Criterion for Comparing Stochastic Volatility Models

4. Risk, jumps, and diversification

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The fear of fear in the US stock market: Changing characteristics of the VVIX;Finance Research Letters;2023-07

2. VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models;Journal of Futures Markets;2023-06-05

3. An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing;Mathematical Problems in Engineering;2022-10-06

4. Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX;Journal of Futures Markets;2022-05-26

5. The asymmetric relationship between volatility index and volatility-of-volatility index;Investment Analysts Journal;2022-04-03

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