Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX-Reference-Cited by-同舟云学术

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Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX

Published:2022-05-26 Issue:8 Volume:42 Page:1518-1548
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Jiang Gongyue¹,Qiao Gaoxiu¹^ORCID,Ma Feng²^ORCID,Wang Lu¹^ORCID

Affiliation:

1. School of Mathematics Southwest Jiaotong University Chengdu Sichuan Province China

2. School of Economics and Management Southwest Jiaotong University Chengdu Sichuan Province China

Funder

National Natural Science Foundation of China

Humanities and Social Science Fund of Ministry of Education of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22344

Reference53 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

3. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

4. A reduced form framework for modeling volatility of speculative prices based on realized variation measures

5. Power and Bipower Variation with Stochastic Volatility and Jumps

Cited by 3 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. Pricing VIX Futures and Options With Good and Bad Volatility of Volatility;Journal of Futures Markets;2024-08-19

2. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30

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

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