Another look at the implied and realised volatility relation : a copula-based approach
Year of publication: |
2020
|
---|---|
Authors: | Pérez Rodríguez, Jorge V. |
Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 22.2020, 1, p. 38-64
|
Subject: | Realised and implied volatilities | Copula models | Tail dependence | Non-linear conditional expectations | Volatilität | Volatility | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
-
A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Pircalabu, Anca, (2017)
-
Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min, (2017)
-
Extreme dependence in price transmission analysis
Qiu, Feng, (2016)
- More ...
-
Air pollution and tourism demand : A case study of Beijing, China
Zhou, Xiaoge, (2019)
-
Volatility transmission for cross-listed firms and the role of international exposure
Pascual-Fuster, Bartholomé, (2007)
-
El riesgo cambiario y el effecto euro en los tipos de cambio de contado
Santana-Jiménez, Yolanda, (2004)
- More ...