A test for change points under the roughness of stochastic volatility: the case of the VIX index

Zhu, Qinwen; Diao, Xundi; Wu, Chongfeng

doi:10.1080/13504851.2023.2294020

Applied Economics Letters

2023

DOI: 10.1080/13504851.2023.2294020

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A test for change points under the roughness of stochastic volatility: the case of the VIX index

Qinwen Zhu,

Xundi Diao,

Chongfeng Wu

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A test for change points under the roughness of stochastic volatility: the case of the VIX index

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References 19 publications

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