On the dependence structure between S\&P500, VIX and implicit interexpectile differences (Q4957243)
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scientific article; zbMATH DE number 7390944
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| English | On the dependence structure between S\&P500, VIX and implicit interexpectile differences |
scientific article; zbMATH DE number 7390944 |
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On the dependence structure between S&P500, VIX and implicit Interexpectile Differences (English)
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3 September 2021
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VIX
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implicit expectiles
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interexpectile differences
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ARMA-GARCH
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copulas
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0.7710734605789185
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0.7500244975090027
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0.746688187122345
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0.7378202676773071
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