Implicit expectiles and measures of implied volatility

DOI10.1080/14697688.2018.1447680zbMath1406.91433OpenAlexW2801901139MaRDI QIDQ4619525

Fabio Bellini, Lorenzo Mercuri, Edit Rroji

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/571565

zbMATH Keywords

implied volatilityexpectilesVIX indexinterexpectile difference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Implicit quantiles and expectiles, Stochastic orders and measures of skewness and dispersion based on expectiles, Risk parity with expectiles, On the dependence structure between S&P500, VIX and implicit Interexpectile Differences, Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models, An elastic-net penalized expectile regression with applications

Uses Software

• YUIMA

Cites Work

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• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX