13-018/III - A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

  • Authors
    David E. Allen, Edith Cowan University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University
  • Publication date
    January 17, 2013
  • Keywords
    S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions
  • JEL
    C14, C22, G24, G32.