TY  - RPRT
AU  - Allen, David E.
AU  - Kramadibrata, A.
AU  - McAleer, Michael
AU  - Powell, R.
AU  - Singh, A. K.
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49106
AB  - This paper features an analysis of the relationship between the S&P500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - S&P500
KW  - VIX
KW  - Entropy
KW  - Non-Parametric Estimation
KW  - Quantile Regressions.
TI  - A non-parametric and entropy based analysis of the relationship between the VIX and S&P500
TY  - technical report
VL  - 2012
ER  -