The dynamics of implied volatilities : a common principal components approach
Matthias R. Fengler and Wolfgang K. Härdle; Christophe Villa
| Year of publication: |
2003
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|---|---|
| Authors: | Fengler, Matthias R. ; Härdle, Wolfgang ; Villa, Christophe |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 6.2003, 3, p. 179-202
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| Subject: | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schock | Shock | Schätzung | Estimation | Index-Futures | Index futures | Theorie | Theory | Deutschland | Germany | Nichtlineare Regression | Nonlinear regression | Risikomaß | Risk measure |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001905297