On the dependence structure between S\&P500, VIX and implicit interexpectile differences

DOI10.1080/14697688.2020.1761029MaRDI QIDQ4957243zbMATH OpenOpenAlexFDO

Authors Fabio Bellini, Lorenzo Mercuri, Edit Rroji

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2434/793476

zbMATH Keywords

copulasVIXARMA-GARCHimplicit expectilesinterexpectile differences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• An introduction to copulas.
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
• Asymmetric Least Squares Estimation and Testing
• Dependence modeling with copulas
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Implicit expectiles and measures of implied volatility
• On Bayesian Modeling of Fat Tails and Skewness

Cited in

(9)

• Stochastic orders and measures of skewness and dispersion based on expectiles
• An application of Kendall distributions and alternative dependence measures: SPX vs. VIX
• Fat tails, serial dependence, and implied volatility index connections
• Parametric measures of variability induced by risk measures
• Implicit expectiles and measures of implied volatility
• A copula approach to backward-looking factors in market based inflation expectations
• Implicit quantiles and expectiles
• Risk perception and equity returns: evidence from the SPX and VIX
• An efficient unified approach for spread option pricing in a copula market model

Describes a project that uses

Uses Software

• CopulaModel
• Rugarch
• VineCopula

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