𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Financial instability and the short-term dynamics of volatility expectations

✍ Scribed by Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke


Book ID
121685866
Publisher
Taylor and Francis Group
Year
2014
Tongue
English
Weight
455 KB
Volume
24
Category
Article
ISSN
0960-3107

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Volatility components: The term structur
✍ 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