A multifactor transformed diffusion model with applications to VIX and VIX futures


Bu, Ruijun ORCID: 0000-0002-3947-3038, Jawadi, Fredj and Li, Yuyi ORCID: 0000-0003-4415-942X (2019) A multifactor transformed diffusion model with applications to VIX and VIX futures. ECONOMETRIC REVIEWS.

[img] Text
BJL 2018-08-01.pdf - Author Accepted Manuscript
Download (937kB) | Preview
Item Type: Article
Uncontrolled Keywords: Transformation model, nonlinear diffusion, latent factor, Kalman filter, volatility index
Depositing User: Symplectic Admin
Date Deposited: 02 Jan 2020 16:48
Last Modified: 19 Jan 2023 00:11
DOI: 10.1080/07474938.2019.1690195
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3068489
Dimensions
Altmetric
CORE (COnnecting REpositories)