Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
function reasonably well.
JEL classification: C14, C32, C52, C53, G12
Keywords: Implied Volatility, Dynamic Semiparametric … Factor Modeling,
Long Memory, Fractional Integrated Volatility Models
Acknowledgement: This research was supported by the …