A non-linear dynamic model of the variance risk premium (Q2347731)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A non-linear dynamic model of the variance risk premium |
scientific article |
Statements
A non-linear dynamic model of the variance risk premium (English)
0 references
8 June 2015
0 references
VIX
0 references
semi-nonparametric diffusion
0 references
VIX futures
0 references
GMM
0 references
MLE
0 references
nonlinear asset pricing
0 references
0 references
0 references
0 references
