VAR modeling for dynamic semiparametric factors of volatility strings
Year of publication: |
2006
|
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Authors: | Brüggemann, Ralf ; Härdle, Wolfgang Karl ; Mungo, Julius ; Trenkler, Carsten |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Implied volatility surface | dynamic semiparametric factor model | unit root tests | vector autoregression | impulse responses. |
Series: | SFB 649 Discussion Paper ; 2006-011 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 51246197X [GVK] hdl:10419/25094 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models |
Source: |
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