VIX term structure forecasting: New evidence based on the realized semi-variances-Reference-Cited by-同舟云学术

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VIX term structure forecasting: New evidence based on the realized semi-variances

Published:2022-07 Issue: Volume:82 Page:102199
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Qiao Gaoxiu,Jiang Gongyue,Yang Jiyu

Funder

Ministry of Education of the People's Republic of China

Fundamental Research Funds for the Central Universities

Humanities and Social Science Fund of Ministry of Education of the People's Republic of China

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference55 articles.

1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

2. Realtime price discovery in stock, bond, and foreign exchange markets;Andersen;Journal of International Econometrics,2007

3. A reduced form framework for modeling volatility of speculative prices based on realized variation measures;Andersen;Journal of Econometrics,2011

4. Designing realized kernels to measure the ex post variation of equity prices in the presence of noise;Barndorff-Nielsen;Econometrica,2008

5. Realized kernels in practice: Trades and quotes;Barndorff-Nielsen;The Econometrics Journal,2009

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