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- W2116726237 abstract "I conduct a comprehensive nonparametric study of volatility jumps and leverage effect by examining high-frequency data on the VIX and S&P 500 from 1992 to 2010. I argue that the VIX data prior to 1998 are too noisy to provide a reliable inference. After 1999, the dataset is cleaner but still controversial. More specifically, the high-frequency dynamics of the VIX jumps challenges the assumptions of commonly used stochastic volatility jump-diffusion models. I explain this phenomenon by hypothesizing that most jump-like movements in the VIX are pseudo-jumps i.e., these jumps are large but temporary deviations from fundamental values." @default.
- W2116726237 created "2016-06-24" @default.
- W2116726237 creator A5018186927 @default.
- W2116726237 date "2013-01-01" @default.
- W2116726237 modified "2023-10-03" @default.
- W2116726237 title "Understanding Jumps in the High-Frequency VIX" @default.
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- W2116726237 doi "https://doi.org/10.2139/ssrn.2277324" @default.
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