HIGHLIGHTS
- who: Felipe do Nascimento Fernandes and collaborators from the (UNIVERSITY) have published the article: cepted manuscri, in the Journal: (JOURNAL)
- what: The authors investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou . The authors compare these approaches to their counterparts. The authors compare the simulation with the out of sample data and the results showed that the model is appropriate to reproduce the VXX instrument.
- how: The authors analyzed the estimation of VIX futures contracts following the two-factor model of Avellaneda and Papanicolaou . The authors presented an application . . .
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