A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
نویسندگان
چکیده
1 Centre for Applied Financial Studies, University of South Australia, and School of Mathematics and Statistics, University of Sydney, NSW 2006, Australia 2 Department of Quantitative Finance, National Tsing Hua University,Taiwan; E-mail: [email protected] 3 Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, 3000 DR Rotterdam, The Netherlands 4 Tinbergen Institute, 1082 MS Amsterdam, The Netherlands 5 School of Business, Edith Cowan University, Western Australia 6027, Australia; E-Mails: [email protected] (R.P.); [email protected] (A.K.S.)
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