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

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009765843

Financial dependence analysis : applications of vine copulae

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Return-volatility relationship : insights from linear and non-linear quantile regression

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

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009711717

Financial dependence analysis : applications of vine copulae

Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009711719

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