A dynamic copula approach to recovering the index implied volatility skew

Journal of Financial Econometrics

Volumn 10, Issue 3, 2012, Pages 457-493

  Fengler, Matthias R ^a   Herwartz, Helmut ^b   Werner, Christian ^c  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

^b UNIVERSITY OF KIEL   (Germany)

^c Macquarie Capital (Europe) Limited   (United Kingdom)

Author keywords

Basket options; Change of measure; Copula dynamic conditional correlation; Esscher transform; Multivariate GARCH models

Indexed keywords

EID: 84863424148     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr016     Document Type: Article

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