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Results: 2
A multifactor transformed diffusion model with applications to VIX and VIX futures
Authors: Author: Bu, Ruijun Jawadi, Fredj Li, Yuyi
Citation: Author: Bu, Ruijun et al., A multifactor transformed diffusion model with applications to VIX and VIX futures, Econometric reviews , 39(1), 2020, pp. 27-53
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Authors: Jawadi, Fredj Ftiti, Zied Louhichi, Waël
Citation: Jawadi, Fredj et al., Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models, Econometric reviews , 39(1), 2020, pp. 54-70
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