On the dependence structure between S\&P500, VIX and implicit interexpectile differences
DOI10.1080/14697688.2020.1761029zbMATH Open1469.91049OpenAlexW3047448979MaRDI QIDQ4957243FDOQ4957243
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
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Cites Work
- Dependence modeling with copulas
- On Bayesian Modeling of Fat Tails and Skewness
- An introduction to copulas.
- Asymmetric Least Squares Estimation and Testing
- Generalized quantiles as risk measures
- Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
- Expectiles, omega ratios and stochastic ordering
- Implicit expectiles and measures of implied volatility
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
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