A non-linear dynamic model of the variance risk premium
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DOI: 10.1016/j.jeconom.2015.02.038
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Citations
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Cited by:
- Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020.
"A multifactor transformed diffusion model with applications to VIX and VIX futures,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021.
"Diffusion copulas: Identification and estimation,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Chang, Chia-Lin & McAleer, Michael, 2015.
"Econometric analysis of financial derivatives: An overview,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
- Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
- Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
- Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015.
"Tail risk premia and return predictability,"
Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
- Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
- José Mauricio Gil-León & Andrés Felipe Suárez-Cant, 2020. "Implications of risk premium shocks in a small and open economy," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 133-172, Enero-Jun.
- Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
- Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
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More about this item
Keywords
VIX; Semi-nonparametric diffusion; VIX futures; GMM; MLE; Non-linear asset pricing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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