Fat tails, serial dependence, and implied volatility index connections
European Journal of Operational Research(2022)
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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