Detecting Jump Activities on Ultra-High Frequency VIX: Pricing VIX Futures and Market Timing Hedge Funds
The study indicates that Brownian motion, finite and infinite activity jumps are present in the ultra-high frequency VIX data, especially when taking into account the impact of market microstructure noise on various statistics. The total quadratic variation can be split into a continuous component o...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3332 |
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| Institution: | Singapore Management University |
| Language: | English |