Search Results - subject:"conditional dependence index"

Leverage and volatility feedback effects and conditional dependence index: A nonparametric study

Sun, Yiguo; Wu, Ximing - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …

Persistent link: https://www.econbiz.de/10012611017

Best fitting fat tail distribution for the volatilities of energy futures: Gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-19

Precise modeling and forecasting of the volatility of energy futures is vital to structuring trading strategies in spot markets for risk managers. Capturing conditional distribution, fat tails and price spikes properly is crucial to the correct measurement of risk. This paper is an attempt to...

Persistent link: https://www.econbiz.de/10012611018

Leverage and volatility feedback effects and conditional dependence index : a nonparametric study

Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …

Persistent link: https://www.econbiz.de/10011857010

Best fitting fat tail distribution for the volatilities of energy futures : gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10011857131