Double-jump diffusion model for VIX: evidence from VVIX (Q4555075)
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scientific article; zbMATH DE number 6981189
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Double-jump diffusion model for VIX: evidence from VVIX |
scientific article; zbMATH DE number 6981189 |
Statements
Double-jump diffusion model for VIX: evidence from VVIX (English)
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19 November 2018
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volatility indices
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volatility proxy
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co-jump
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Monte Carlo Markov chain
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Bayesian analysis
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