Forward looking up-/down correlations
Year of publication: |
2021
|
---|---|
Authors: | Schadner, Wolfgang |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 5.2021, 3, p. 471-495
|
Subject: | implied correlation | Dual-Beta | implied volatility | forward-looking risk | asymmetric dependence | Volatilität | Volatility | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Risiko | Risk | Portfolio-Management | Portfolio selection | Derivat | Derivative | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure |
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