Browsing by Subject "S&P 500 and VIX joint modeling"

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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, C; GOURIER, EM; Leippold, M (Elsevier, 2018-09-17)

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find ...