Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
| Year of publication: |
2011
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|---|---|
| Authors: | Hilal, Sawsan ; Poon, Ser-Huang ; Tawn, Jonathan |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 35.2011, 9, p. 2374-2388
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