Cover Image

The VIX as Stochastic Volatility for Corporate Bonds

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Park, Jihyun, Sarantsev, Andrey
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance Applications 62J05, 62M10, 91B70, 91G30
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

Comparative Analysis of Spatiotemporal Volatility Models: An Empirical Study on Financial Network Series
by: Chrisko, Ariane N. Meli, et al.
Published: (2026)

Range-Based Volatility Estimators for Monitoring Market Stress: Evidence from Local Food Price Data
by: Andrée, Bo Pieter Johannes
Published: (2026)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)

Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks
by: Farzulla, Murad
Published: (2026)

Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Linking Path-Dependent and Stochastic Volatility Models
by: Cohen, Samuel N., et al.
Published: (2025)

Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)

Geometric Observables for Financial Regime Detection
by: Hammond, Will
Published: (2026)

Stylized facts of the Indian Stock Market
by: Sen, Rituparna, et al.
Published: (2019)

Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Sentiment and Volatility in Financial Markets: A Review of BERT and GARCH Applications during Geopolitical Crises
by: Mino, Domenica, et al.
Published: (2025)

Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)

From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design
by: Fang, Jianyong, et al.
Published: (2025)

Convolutional Attention in Betting Exchange Markets
by: Gonçalves, Rui, et al.
Published: (2025)

Deep Learning Forecasting of the U.S. Aggregate Bond Index
by: Verma, Ajay Kumar, et al.
Published: (2026)

Market-based insurance ratemaking: application to pet insurance
by: Goffard, Pierre-Olivier, et al.
Published: (2025)

The use of financial and sustainability ratios to map a sector. An approach using compositional data
by: Rondós-Casas, Elena, et al.
Published: (2025)

Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
by: Woitschig, Patrick, et al.
Published: (2026)

Functional Clustering of Discount Functions for Behavioral Investor Profiling
by: Porreca, Annamaria, et al.
Published: (2024)

Spurious Predictability in Financial Machine Learning
by: Nikolopoulos, Sotirios D.
Published: (2026)

Semiparametric Volatility Model with Varying Frequencies
by: Benito, Jetrei Benedick R., et al.
Published: (2021)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

Mitigating the choice of the duration in DDMS models through a parametric link
by: Mendes, Fernando Henrique de Paula e Silva, et al.
Published: (2023)

Utility-Weighted Forecasting and Calibration for Risk-Adjusted Decisions under Trading Frictions
by: Wright, Craig S
Published: (2026)

ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets
by: Farzulla, Murad, et al.
Published: (2026)

Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)

Switching between states and the COVID-19 turbulence
by: Aarab, Ilias
Published: (2025)

The Population Resemblance Statistic: A Chi-Square Measure of Fit for Banking
by: Potgieter, Nelis, et al.
Published: (2023)

Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)

Climate-Aware Copula Models for Sovereign Rating Migration Risk
by: Palaisti, Marina
Published: (2026)

Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
by: Chen, Hao-Hsuan
Published: (2026)

New financial ratios based on the compositional data methodology
by: Linares-Mustarós, Salvador, et al.
Published: (2022)