Detecting Jump Activities on Ultra-High Frequency VIX: Pricing VIX Futures and Market Timing Hedge Funds

• المؤلفون الرئيسيون: GOH, Choo Yong, Jeremy, LIN, Yueh-Neng
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3332

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...