Browsing Miljkovic,Tatjana by Author "SenGupta, Indranil"
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A new analysis of VIX using mixture of regressions: Examination and short-term forecasting for the S & P 500 market
Miljkovic, Tatjana; SenGupta, IndranilA novel approach to the analysis of S & P 500 market fluctuations is proposed using a K‐component mixture of regressions model. The Barndorff‐Nielsen and Shephard stochastic model is employed where the estimates of jumps ...