1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2021★ 1 cited
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
Peter Reinhard Hansen, Zhuo Huang, Chen Tong +1
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by…
q-fin.TR2021
Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets
Zhiyong Cheng, Jun Deng, Tianyi Wang +1
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. T…