Pricing the CBOE VIX Futures with the Heston-Nandi GARCH Model

Journal of Futures Markets ◽

10.1002/fut.21820 ◽

2016 ◽

Vol 37 (7) ◽

pp. 641-659 ◽

Cited By ~ 23

Author(s):

Tianyi Wang ◽

Yiwen Shen ◽

Yueting Jiang ◽

Zhuo Huang

Keyword(s):

Garch Model ◽

Vix Futures

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VIX futures and its closed‐form pricing through an affine GARCH model with realized variance

Journal of Futures Markets ◽

10.1002/fut.22159 ◽

2020 ◽

Vol 41 (1) ◽

pp. 135-156

Author(s):

Qi Wang ◽

Zerong Wang

Keyword(s):

Closed Form ◽

Garch Model ◽

Realized Variance ◽

Vix Futures

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CVaR value research on portfolios of stock that contain index futures based on time-varying-copula-GARCH model

Industrial Electronics and Engineering ◽

10.2495/iciee140551 ◽

2014 ◽

Author(s):

Yue Ding ◽

Xiaoxi Li ◽

Chuanglian Chen

Keyword(s):

Garch Model ◽

Time Varying ◽

Index Futures

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Forward Persistence of Volatility, Kurtosis, and the GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1460380 ◽

2009 ◽

Author(s):

Amir Khalilzadeh

Keyword(s):

Garch Model ◽

The Garch Model

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Evidence for Hedge Fund Predictability from a Multivariate Student-T Full-Factor GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1538294 ◽

2009 ◽

Cited By ~ 1

Author(s):

Ioannis D. Vrontos

Keyword(s):

Hedge Fund ◽

Garch Model

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Detecting Statistical Arbitrage Opportunities Using a Combined Neural Network - GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1984252 ◽

2012 ◽

Cited By ~ 1

Author(s):

Nikos S. Thomaidis ◽

Nick Kondakis

Keyword(s):

Neural Network ◽

Garch Model ◽

Statistical Arbitrage ◽

Arbitrage Opportunities

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VIX Futures Volume and Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2166170 ◽

2012 ◽

Author(s):

Bujar Huskaj

Keyword(s):

Vix Futures

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Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy

SSRN Electronic Journal ◽

10.2139/ssrn.2369260 ◽

2013 ◽

Cited By ~ 2

Author(s):

Dr. Chrilly Donninger

Keyword(s):

Vix Futures

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Asymptotic Inference for Real-Time GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.2809055 ◽

2016 ◽

Author(s):

Ekaterina Smetanina

Keyword(s):

Real Time ◽

Garch Model ◽

Asymptotic Inference

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Heavy-Tailed Distributions, GARCH Model and the Stock Market Returns in South Korea

SSRN Electronic Journal ◽

10.2139/ssrn.3014472 ◽

2017 ◽

Author(s):

Yoon Hong ◽

Ji-chul Lee ◽

Ding Guoping

Keyword(s):

Stock Market ◽

South Korea ◽

Garch Model ◽

Market Returns ◽

Stock Market Returns ◽

Heavy Tailed Distributions ◽

Heavy Tailed

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Conditional Dependence Structure between Oil, Gold and USD Exchange Rates: Nested Copula Based GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.3093071 ◽

2017 ◽

Author(s):

Sana Braiek ◽

Rihab Bedoui

Keyword(s):

Exchange Rates ◽

Garch Model ◽

Dependence Structure ◽

Conditional Dependence

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