VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Year of publication: |
2006-02
|
---|---|
Authors: | Brüggemann, Ralf ; Härdle, Wolfgang ; Mungo, Julius ; Trenkler, Carsten |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Implied volatility surface | dynamic semiparametric factor model | unit root tests | vector autoregression | impulse responses |
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