Found 16 Documents (Results 1–16)
Implied higher order moments in the Heston model: a case study of S&P500 index. (English) Zbl 1530.91553
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index. (English) Zbl 1501.91169
MSC:
91G20
VIX versus VXX: a joint analytical framework. (English) Zbl 1457.91375
MSC:
91G20
A neural network approach to understanding implied volatility movements. (English) Zbl 1454.91275
MSC:
91G20
Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach. (English) Zbl 1483.91224
Arithmetic variance swaps. (English) Zbl 1402.91798
MSC:
91G20
Regime-switching stochastic volatility model: estimation and calibration to VIX options. (English) Zbl 1398.91593
Nonparametric tests for conditional independence using conditional distributions. (English) Zbl 1329.62209
Covariance and correlation swaps for financial markets with Markov-modulated volatilities. (English) Zbl 1290.91167
Reviewer: George Stoica (Saint John)
The herd behavior index: a new measure for the implied degree of co-movement in stock markets. (English) Zbl 1237.91237
Volatility jumps. (English) Zbl 1219.91156
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