Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics : open access journal 5 (2017) 1, pp. 1-38
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...