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Applied Economics Volume 54, 2022 - Issue 32
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Research Article

Directly pricing VIX futures: the role of dynamic volatility and jump intensity

Tianyi WangDepartment of Financial Engineering, School of Banking and Finance, University of International Business and Economics, Beijing, People’s Republic of ChinaView further author information
,
Sicong ChengDepartment of Financial Engineering, School of Banking and Finance, University of International Business and Economics, Beijing, People’s Republic of ChinaView further author information
,
Fangsheng YinCorrespondence[email protected]
View further author information
&
Mei YuDepartment of Financial Engineering, School of Banking and Finance, University of International Business and Economics, Beijing, People’s Republic of ChinaView further author information
Pages 3678-3694 | Published online: 10 Jan 2022

Citations (5)

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Read on this site (1)

Chae-Deug Yi. Volatility and jump with intraday periodicity and truncated power variation in Chinese yuan-US dollar exchange rates. Asia-Pacific Journal of Accounting & Economics 0:0, pages 1-19.
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Articles from other publishers (4)

Gaoxiu Qiao & Gongyue Jiang. (2023) VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models. Journal of Futures Markets 43:9, pages 1238-1260.
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Xiaoyi Chen, JianFen Feng & Tianyi Wang. (2023) Pricing VIX futures: A framework with random level shifts. Finance Research Letters 52, pages 103501.
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Anupam Dutta & Debojyoti Das. (2022) Forecasting realized volatility: New evidence from time‐varying jumps in VIX. Journal of Futures Markets 42:12, pages 2165-2189.
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Gongyue Jiang, Gaoxiu Qiao, Feng Ma & Lu Wang. (2022) Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX. Journal of Futures Markets 42:8, pages 1518-1548.
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