Conditional dependence in post-crisis markets : dispersion and correlation skew trades
Year of publication: |
2020
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Authors: | Sokolinskiy, Oleg |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 55.2020, 2, p. 389-426
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Subject: | Implied correlation | Correlation risk premium | Conditional dependence | Basket options | Dispersion trading | Market segmentation | QQQ | Korrelation | Correlation | Risikoprämie | Risk premium | Volatilität | Volatility | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Marktsegmentierung | Kapitaleinkommen | Capital income | Theorie | Theory |
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