Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Liu, Y. & Tawn, J.A., 2014. "Self-consistent estimation of conditional multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 19-35.
- Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
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- Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
- Thomas Santoli & Christoph Siebenbrunner, 2018. "Why Black Swan events must occur," Papers 1803.02570, arXiv.org, revised Mar 2018.
- Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
More about this item
KeywordsFinancial time series Extreme value theory Extremal dependence structure Downside risk Optimal hedge ratio;
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