An empirical comparison of transformed diffusion models for VIX and VIX futures (2017)
Attributed to:
Modelling Interest Rate Dynamics: A Flexible and Efficient Nonparametric Likelihood Approach
funded by
ESRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.intfin.2016.08.003
Publication URI: http://dx.doi.org/10.1016/j.intfin.2016.08.003
Type: Journal Article/Review
Parent Publication: Journal of International Financial Markets, Institutions and Money