Search Results - subject:"Dynamic Semiparametric Factor Modeling"

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10010274129

Long Memory Persistence in the Factor of Implied Volatility Dynamics

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 …

Persistent link: https://www.econbiz.de/10005678046