Search Results - subject:"dynamic semiparametric factor model"

The relationship between spot and futures CO2 emission allowance prices in the EU-ETS

Trück, Stefan; Härdle, Wolfgang; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2012

In this paper we investigate the relationship between spot and futures prices within the EU-wide CO2 emissions trading scheme (EU-ETS). We conduct an empirical study on price behavior, volatility term structure and correlations in different CO2 EU Allowance (EUA) contracts during the pilot...

Persistent link: https://www.econbiz.de/10010626156

A joint analysis of the KOSPI 200 option and ODAX option markets dynamics

Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius - 2009

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...

Persistent link: https://www.econbiz.de/10010274154

A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics

Cao, Ji; Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

As a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...

Persistent link: https://www.econbiz.de/10005652743

Implied Volatility Surface Modeling for KOSPI 200 option and ODAX with DSFM

Cao, Ji - 2008

, estimating implied volatility is a challenging task for both academia and industry. Dynamic Semiparametric Factor Model (DSFM) is …

Persistent link: https://www.econbiz.de/10009467063

A semiparametric factor model for electricity forward curve dynamics

Borak, Szymon; Weron, Rafał - 2008

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest …

Persistent link: https://www.econbiz.de/10010277182

A semiparametric factor model for electricity forward curve dynamics

Borak, Szymon; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2008

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest …

Persistent link: https://www.econbiz.de/10005787045

A semiparametric factor model for electricity forward curve dynamics

Borak, Szymon; Weron, Rafał - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest …-370 Wrocsuppresslaw, Poland; email: rafal.weron@pwr.wroc.pl Abstract In this paper we introduce the dynamic semiparametric factor model …,l represent the parametric part, hence the name dynamic semiparametric factor model (DSFM); for a recent review of non- and …

Persistent link: https://www.econbiz.de/10005207927

VAR modeling for dynamic semiparametric factors of volatility strings

Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; … - 2006

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...

Persistent link: https://www.econbiz.de/10010319192

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

volatility surface (IVS). The movement of this surface may be summarized by a dynamic semiparametric factor model (DSFM) as … some macroeconomic variables of the Euro - economy. Keywords: Implied volatility surface, dynamic semiparametric factor … Implied Volatility, Springer-Verlag. 13 11. Fengler, M., W. H¨ardle and E. Mammen, 2005, A dynamic semiparametric factor …

Persistent link: https://www.econbiz.de/10005677917

DSFM fitting of Implied Volatility Surfaces

Borak, Szymon; Fengler, Matthias; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount...

Persistent link: https://www.econbiz.de/10005677980