Search
Now showing items 1-1 of 1
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
(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 ...