Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX
Year of publication: |
2011
|
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Authors: | Hilal, Sawsan ; Poon, Ser-Huang ; Tawn, Jonathan |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 35.2011, 9, p. 2374-2387
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Subject: | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Aktienindex | Stock index | ARCH-Modell | ARCH model | Theorie | Theory |
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