Nature of VIX jumps on market timing of hedge funds

Nature of VIX jumps on market timing of hedge funds

The study indicates that Brownian motion, finite and infinite activity jumps are present in the ultra-high frequency VIX data. The total quadratic variation can be split into a continuous component of 29% and a jump component of 71%. Jump activities on ultra-high frequency VIX data are found informa...

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Bibliographic Details
Main Authors: LIN, Yueh-Neng, GOH, Choo Yong, Jeremy
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Ultra-high frequency VIX
Infinite jump activity
Finite jump activity
Brownian motion
Hedge fund strategies
Finance
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6441
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7440/viewcontent/SSRN_id1914452.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6441
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7440/viewcontent/SSRN_id1914452.pdf

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