A multifactor transformed diffusion model with applications to VIX and VIX futures (2019)
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/10.1080/07474938.2019.1690195
Publication URI: http://dx.doi.org/10.1080/07474938.2019.1690195
Type: Journal Article/Review
Parent Publication: Econometric Reviews
Issue: 1