Update search
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
NARROW
Format
Journal
Type
Date
Availability
1-1 of 1
Keywords: Value-at-Risk (VaR)
Close
Follow your search
Access your saved searches in your account
Would you like to receive an alert when new items match your search?
Sort by
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
... dimensionality and save substantial computational time. Third, the authors validate the model with selected VIX futures maturities and test on value-at-risk (VAR) computations. Findings The authors show that the use of multiple factors has a significant impact on the simulated VIX futures distribution...
