Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-
haven potential of green bonds for conventional equity, fixed income, commodity, and forex …

Considering the asymmetric volatility response to positive and negative shocks, this paper
investigates VIX term structure forecasting by incorporating the realized upside and …

This paper proposes to study VIX forecasting based on discrete time GARCH-type model
with observable dynamic jump intensity by incorporating high frequency information (DJI …

We investigate the role of realized volatility in pricing VIX options by using the generalized
affine realized volatility (GARV) model, and the Realized generalized autoregressive …

In this paper we propose semiclosed‐form solutions, subject to an inversion of the Fourier
transform, for the price of VIX options and target volatility options under affine GARCH …

Under the component GARCH model of Christoffersen et al.(2008), this research provides
the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero …

This paper proposes to study volatility index (VIX) futures pricing by directly modeling the
logarithmic VIX while incorporating observable dynamic jumps of the VIX, which are derived …

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

We propose a novel hybrid approach for volatility index (VIX) futures pricing by combining
support vector regression (SVR) with parametric models. Realized semivariances calculated …

The importance of jump clustering is widely recognized in the financial market. We use the
Hawkes process to capture jump propagation risks and study their role in modeling the …