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Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX

Sawsan Abbas

Publication Data

Title Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX
Author Sawsan Abbas
Contributors Ser-Huang Poon, Jonathan Tawn, Manchester Business School
Publisher Manchester Business School
Publication date 2009
Publication location Manchester
Language English

Descriptive Notes

Title from cover.

Topics

Extreme value theory
Multivariate analysis

Catalogue Data

OBNB ID GBB119412
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book
Dewey Classification 519.24

ISBD

P1053 36 leaves
P1042 Includes bibliographical references.

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Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX by Sawsan Abbas. Published by Manchester Business School in 2009. Publication and catalogue information, links to buy online and reader comments.