A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Year of publication: |
2013
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abhay K. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Entropie | Nichtparametrisches Verfahren | Regression | Schätzung | Börsenkurs | S&P 500 | VIX | Entropy | Non-Parametric Estimation | Quantile Regressions |
Series: | Tinbergen Institute Discussion Paper ; 13-018/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 752161091 [GVK] hdl:10419/87526 [Handle] RePEc:dgr:uvatin:20130018 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G24 - Investment Banking; Venture Capital; Brokerage ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
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