VIX term structure: The role of jump propagation risks
研究了跳跃传播风险在波动率指数（VIX）期限结构建模中的作用，发现加入跳跃传播风险能更好地拟合S&P 500指数和VIX期限结构的联合动态，尤其在市场高波动时期。
Abstract The importance of jump clustering is widely recognized in the financial market. We use the Hawkes process to capture jump propagation risks and study their role in modeling the Volatility Index (VIX) term structure. Applying the joint estimation approach to the S&P 500 index and the VIX term structure, we find that incorporating jump propagation risks is important to reconcile the dynamics of joint data and to model the VIX term structure, especially when the market is highly volatile. The long‐term variance factor further improves the description of the VIX term structure for low and medium market volatility levels.