most citedDouble-jump stochastic volatility model for VIX: evidence from VVIX

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

q-fin.CP2015★ 2 cited

Double-jump stochastic volatility model for VIX: evidence from VVIX

Xin Zang, Jun Ni, Jing-Zhi Huang +1

The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volat…