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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| 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/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 |