Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX

By Sawsan Hilal, Ser-Huang Poon, Jonathan A. Tawn. 2011

68 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a7ad6bdec9673020604d5a912c2b8c71e3e121a6

Citations in the corpus

• Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “This metaphor has been employed previously with regards to the Global Financial Crisis in 2007-2019 (Hilal et al.,2011; Singh et al., 2013; Bekiros et al., 2017), which was the strongest global economic shock after the Great Depression. However, it is not only global crises that have been considered”