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. |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 6.2013, 1, p. 6-30
|
Publisher: |
Basel : MDPI |
Subject: | S&P 500 | VIX | entropy | non-parametric estimation | quantile regressions |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm6010006 [DOI] 871746778 [GVK] hdl:10419/178540 [Handle] |
Classification: | G15 - International Financial Markets ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure ; c58 ; D53 - Financial Markets |
Source: |
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