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.
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BJL 2018-08-01.pdf - Accepted Version Download (937kB) | Preview |
Item Type: | Article |
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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: | 09 Dec 2020 02:30 |
DOI: | 10.1080/07474938.2019.1690195 |
Related URLs: | |
URI: | http://livrepository.liverpool.ac.uk/id/eprint/3068489 |
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