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Fitting Weibull ACD models to high frequency transactions data : a semi-parametric approach based on estimating functions

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Industry market value at risk in Australia

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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

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Nonparametric multiple change point analysis of the global financial crisis

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Nonparametric multiple change point analysis of the global financial crisis

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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

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Semiparametric autoregressive conditional duration model : theory and practice

Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881

Persistent link: https://www.econbiz.de/10011483396

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743