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.