Dynamic Factor Models for the Volatility Surface
Year of publication: |
2015-01-30
|
---|---|
Authors: | Wel, Michel van der ; Ozturk, Sait R. ; Dijk, Dick van |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Dynamic Factor Models | Implied Volatility Surface | Kalman filter | Max-imum likelihood |
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