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2020

A multifactor transformed diffusion model with applications to VIX and VIX futures

Bu, R., Jawadi, F., & Li, Y. (2020). A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews, 39(1), 27-53. doi:10.1080/07474938.2019.1690195

DOI
10.1080/07474938.2019.1690195
Journal article

2019

2017

An empirical comparison of transformed diffusion models for VIX and VIX futures

Bu, R., Jawadi, F., & Li, Y. (2017). An empirical comparison of transformed diffusion models for VIX and VIX futures. Journal of International Financial Markets, Institutions and Money, 46, 116-127. doi:10.1016/j.intfin.2016.08.003

DOI
10.1016/j.intfin.2016.08.003
Journal article

2016

2014

Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach

Bu, R., Giet, L., Hadri, K., & Lubrano, M. (2014). Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach. In Econometric Methods and Their Applications in Finance, Macro and Related Fields (pp. 5-29). WORLD SCIENTIFIC. doi:10.1142/9789814513470_0001

DOI
10.1142/9789814513470_0001
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