Fat tails, serial dependence, and implied volatility index connections
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Publication:2077951
DOI10.1016/j.ejor.2021.09.038zbMath1490.91235OpenAlexW3136636229MaRDI QIDQ2077951
Publication date: 23 February 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.09.038
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Financial networks (including contagion, systemic risk, regulation) (91G45)
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