Persistence and discontinuity in the VIX dynamics-Reference-Cited by-同舟云学术

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Persistence and discontinuity in the VIX dynamics

Published:2018-08 Issue: Volume:113 Page:333-344
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Ouandlous Arav,Barkoulas John T.,Alhaj-Yaseen Yaseen

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference45 articles.

1. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

2. Construction and interpretation of model-free implied volatility;Andersen,2007

3. A bias–reduced log–periodogram regression estimator for the long–memory parameter;Andrews;Econometrica,2003

4. A conditional extremely value volatility estimator based on high-frequency returns;Bali;J Econ Dyn Control,2007

5. Long memory and the relation between implied and realized volatility;Bandi;J Financ Econometrics,2006

Cited by 4 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. Statistical Approach to Implied Market Inefficiency Estimation;SSRN Electronic Journal;2024

2. Statistical Approach to Implied Market Inefficiency Estimation;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2024

3. Forecasting VIX with Hurst Exponent;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2022

4. Can the Chinese volatility index reflect investor sentiment?;International Review of Financial Analysis;2021-01

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