Regime Switching Vine Copula Models for Global Equity and Volatility Indices
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher moments...
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| Autori principali: | , , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2017-01-01
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| Serie: | Econometrics |
| Soggetti: | |
| Accesso online: | http://www.mdpi.com/2225-1146/5/1/3 |
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