Forecasting the term structure of variance swaps
Year of publication: |
2006
|
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Authors: | Detlefsen, Kai ; Härdle, Wolfgang Karl |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Term structure | Variance swap curve | Heston model | Nelson- Siegel curve | Semiparametric factor model |
Series: | SFB 649 Discussion Paper ; 2006-052 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 518433307 [GVK] hdl:10419/25135 [Handle] RePEc:zbw:sfb649:sfb649dp2006-052 [RePEc] |
Classification: | G1 - General Financial Markets ; D4 - Market Structure and Pricing ; C5 - Econometric Modeling |
Source: |
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