P.O. Box 616
Maastricht, 6200 MD
Netherlands
Maastricht University - Department of Economics
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VIX options, orthogonal expansions, risk-neutral moments, volatility jumps, volatility tail-risk
Volatility, multivariate GARCH, matrix norm, loss function, model confidence set
option pricing, economic loss, forecasting, multivariate GARCH, model confidence set