Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
Sonnan Chen and Yuchi Gu
The Journal of Derivatives Spring 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124
Sonnan Chen
is a finance professor at the Shanghai Advanced Institution of Finance, Shanghai Jiao Tong University in Shanghai, China
Yuchi Gu
is a PhD student at the Shanghai Advanced Institution of Finance, Shanghai Jiao Tong University in Shanghai, China
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In this issue
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
Sonnan Chen, Yuchi Gu
The Journal of Derivatives Feb 2021, 28 (3) 60-96; DOI: 10.3905/jod.2020.1.124