On the dependence structure between S&P500, VIX and implicit Interexpectile Differences

DOI10.1080/14697688.2020.1761029zbMath1469.91049OpenAlexW3047448979MaRDI QIDQ4957243

Fabio Bellini, Edit Rroji, Lorenzo Mercuri

Publication date: 3 September 2021

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

Full work available at URL: http://hdl.handle.net/2434/793476

zbMATH Keywords

copulasVIXARMA-GARCHimplicit expectilesinterexpectile differences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial markets (91G15)

Related Items

Implicit quantiles and expectiles ⋮ Parametric measures of variability induced by risk measures ⋮ Stochastic orders and measures of skewness and dispersion based on expectiles

Uses Software

• VineCopula
• Rugarch
• CopulaModel

Cites Work

• Asymmetric Least Squares Estimation and Testing
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
• An introduction to copulas.
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Dependence Modeling with Copulas
• On Bayesian Modeling of Fat Tails and Skewness
• Implicit expectiles and measures of implied volatility