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Keywords: Roll-down the term structure
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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
...Philippe Bélanger; Marc-André Picard Purpose Previous studies have shown the VIX futures tend to roll-down the term structure and converge towards the spot as they grow closer to maturity. The purpose of this paper is to propose an approach to improve the volatility index fear factor-level (VIX...
