Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
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DOI: 10.1016/j.frl.2024.106053
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References listed on IDEAS
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More about this item
Keywords
Affine GARCH model estimation; Model confidence set; Option pricing; VIX maturity;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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