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Keywords: Principal component analysis (PCA)
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Journal Articles
A multi-factor HJM and PCA approach to risk management of VIX futures
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2018) 19 (5): 524–547.
Published: 31 October 2018
...-level) prediction. Design/methodology/approach First, the authors use a forward-looking technique, the Heath–Jarrow–Morton (HJM) no-arbitrage framework to capture the convergence of the futures contract towards the spot. Second, the authors use principal component analysis (PCA) to reduce...
