Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX

✍ Scribed by Sawsan Hilal; Ser-Huang Poon; Jonathan Tawn

• Book ID: 116615839
• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 804 KB
• Volume: 35
• Category: Article
• ISSN: 0378-4266
• DOI: 10.1016/j.jbankfin.2011.01.035