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On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit - In: Quantitative finance 20 (2020) 11, pp. 1839-1848
Persistent link: https://www.econbiz.de/10012313519
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Implicit expectiles and measures of implied volatility
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit - In: Quantitative finance 18 (2018) 11, pp. 1851-1864
Persistent link: https://www.econbiz.de/10012262851