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  • Search: subject:"Volatility space"
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Year of publication
Subject
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ARCH model 1 ARCH-Modell 1 Eigenanalysis 1 Estimation 1 Factor analysis 1 Faktorenanalyse 1 Latent factors 1 Multi-dimensional volatility process 1 Multivariate Analyse 1 Multivariate analysis 1 Schätzung 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatility space 1 Volatilität 1 Zeitreihenanalyse 1 kernel smoothing in implied volatility space 1 mixture of lognormals 1 option prices 1 risk neutral density 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Duca, Ioana Andreea 1 Gao, Jing 1 Li, Kunpeng 1 Li, Weiming 1 Ruxanda, Gheorghe 1 Yao, Qiwei 1
Published in...
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Journal for Economic Forecasting 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Modeling multivariate volatilities via latent common factors
Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573
Persistent link: https://www.econbiz.de/10011692411
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A View on the Risk-Neutral Density Forecasting of the Dax30 Returns
Duca, Ioana Andreea; Ruxanda, Gheorghe - In: Journal for Economic Forecasting (2013) 2, pp. 101-114
Option-implied risk-neutral densities incorporate market expectations with respect to the future course of option underlyings. Under the risk neutrality assumption various methods have been developed. In this paper, we look into two of them: parametric mixture of lognormals method and...
Persistent link: https://www.econbiz.de/10010678158
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