A dynamic copula approach to recovering the index implied volatility skew
Matthias R. Fengler; Helmut Herwartz; Christian Werner
| Year of publication: |
2012
|
|---|---|
| Authors: | Fengler, Matthias R. ; Herwartz, Helmut ; Werner, Christian |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 10.2012, 3, p. 457-493
|
| Subject: | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Aktienindex | Stock index | Optionsgeschäft | Option trading | Index-Futures | Index futures | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009571516