Quantifying-VIX-Tail-Risk/CITATION.cff at clean-main · CttQuantLab/Quantifying-VIX-Tail-Risk · GitHub

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cff-version: 1.2.0
message: If you use this software, please cite it as below.
title: "Quantifying VIX Tail Risk: Volatility Clustering and Jump Processes"
authors:
  - family-names: Chandrean
    given-names: Vittorio Prana
  - family-names: Chong
    given-names: Tin Tak
  - family-names: Choi
    given-names: Man Hou
version: 1.0.0
date-released: "2025-12-17"
license: MIT
repository-code: https://github.com/CttQuantLab/Quantifying-VIX-Tail-Risk
url: https://github.com/CttQuantLab/Quantifying-VIX-Tail-Risk
abstract: >-
  Comparative study of GARCH-family volatility models and Compound Poisson
  jump processes for VIX tail-risk quantification, including regime analysis
  and out-of-sample VaR/CVaR evaluation.
keywords:
  - VIX
  - GARCH
  - compound Poisson
  - tail risk
  - quantitative finance
  - volatility clustering