COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990)
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scientific article; zbMATH DE number 6288565
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES |
scientific article; zbMATH DE number 6288565 |
Statements
COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (English)
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25 April 2014
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Markov-modulated volatility
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covariance swaps
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correlation swaps
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VIX index
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VXN index
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variance swaps
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volatility swaps
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0.9034019
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0.9014991
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0.89586157
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0.8898884
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0.8892624
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0.8867396
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0.88324064
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0.88293505
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0.8771678
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