Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/70018
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dc.contributor.authorPérez Rodríguez, Jorge Vicenteen_US
dc.date.accessioned2020-02-05T12:51:56Z-
dc.date.available2020-02-05T12:51:56Z-
dc.date.issued2019en_US
dc.identifier.issn1460-3799en_US
dc.identifier.otherScopus-
dc.identifier.urihttp://hdl.handle.net/10553/70018-
dc.description.abstractThe main aim of this paper is to obtain a direct measure of the relation between the future and implied volatilities, in order to determine the appropriateness of using linear modelling to establish the implied–realised volatility relation. To achieve this aim, the dependence structure for implied and realised volatilities is modelled using bivariate standard copulas. Dependence parameters are estimated using a semiparametric method and by reference to three databases corresponding to different assets and frequencies. Two of these databases have been employed in previous research, and the third was constructed specifically for the present study. The first two databases span periods of major crises during the 1980s and 1990s, while the third contains data corresponding to the 2007 financial and economic crisis. The empirical evidence obtained shows that the dependence coefficient is always positive and constant over time, as expected. However, the influence of extreme-volatility events should be taken into account when the data present significant asymmetric tail dependence; models that impose symmetry underestimate the conditional expectation in extreme tail events. Therefore, it might be preferable to model nonlinear conditional expectations to forecast the realised volatility, using implied volatility as a predictor, as is the case with copula models and neural networks.en_US
dc.languageengen_US
dc.relation.ispartofRisk Managementen_US
dc.sourceRisk Management [ISSN 1460-3799], v. 22, p. 38–64en_US
dc.subject5302 Econometríaen_US
dc.subject.otherCopula Modelsen_US
dc.subject.otherNon-Linear Conditional Expectationsen_US
dc.subject.otherRealised And Implied Volatilitiesen_US
dc.subject.otherTail Dependenceen_US
dc.titleAnother look at the implied and realised volatility relation: a copula-based approachen_US
dc.typeinfo:eu-repo/semantics/articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1057/s41283-019-00054-yen_US
dc.identifier.scopus85071939840-
dc.identifier.isi000514996500002-
dc.contributor.authorscopusid56216749800-
dc.identifier.eissn1743-4637-
dc.description.lastpage64en_US
dc.identifier.issue1-
dc.description.firstpage38en_US
dc.relation.volume22en_US
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid1615612-
dc.description.numberofpages27en_US
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Perez-Rodriguez, JV-
dc.date.coverdateMarzo 2020en_US
dc.identifier.ulpgcen_US
dc.contributor.buulpgcBU-ECOen_US
dc.description.sjr0,275
dc.description.jcr1172,0
dc.description.sjrqQ3
dc.description.jcrqQ3
dc.description.ssciSSCI
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-6738-9191-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNamePérez Rodríguez, Jorge Vicente-
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