Fat tails, serial dependence, and implied volatility index connections

European Journal of Operational Research(2022)

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摘要
•I assess the role of fat tails and serial dependence in implied volatility network connections.•I decompose connections into short-, medium-, and long-term components.•Implied volatility network measures hold predictive power for underlying asset returns.•Investors can trade on directional connections to hedge against temporary adverse changes to investment opportunities.
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关键词
Network analysis,Implied volatility indices,Fat tails,Serial dependence
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