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Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

✍ Scribed by Kaeck, Andreas; Alexander, Carol

Book ID
119942104
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
393 KB
Volume
28
Category
Article
ISSN
1057-5219

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Volatility components: The term structure dynamics of VIX futures
✍ Zhongjin Lu; Yingzi Zhu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 283 KB

## Abstract In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum