Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market
This study examines the Chinese implied volatility index (iVIX) to determine whether jump
information from the index is useful for volatility forecasting of the Shanghai Stock Exchange …
information from the index is useful for volatility forecasting of the Shanghai Stock Exchange …
Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
This paper proposes a novel stochastic volatility model with a flexible jump structure. This
model allows both contemporaneous and independent arrival of jumps in return and …
model allows both contemporaneous and independent arrival of jumps in return and …
Trading Activity and Price Discovery of the Chinese Crude Oil Futures Contract: Evidence from High-Frequency Data
Using high-frequency intraday data sampled on half-a-second frequencies for the Chinese
crude oil futures contract (SC), we examine and compare trading dynamics of SC with both …
crude oil futures contract (SC), we examine and compare trading dynamics of SC with both …
Quantitative trading strategy based on IVIX Index prediction and recurrence: Machine Learning Perspective
X He, N Yang - Proceedings of the International Conference on …, 2024 - dl.acm.org
This study explores quantitative trading techniques for forecasting the IVIX indicator by
utilizing machine learning methods. We acknowledge the unavailability of an official IVIX …
utilizing machine learning methods. We acknowledge the unavailability of an official IVIX …