Search Results - subject:"implied volatility surface"

Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012

Persistent link: https://www.econbiz.de/10011814410

Modelling the implied volatility surface based on Shanghai 50ETF options

Wang, Jinzhong; Chen, Shijiang; Tao, Qizhi; Zhang, Ting - In: Economic modelling 64 (2017), pp. 295-301

Persistent link: https://www.econbiz.de/10011761005

Analyzing volatility risk and risk premium in option contracts : a new theory

Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011590060

Confidence bands in quantile regression and generalized dynamic semiparametric factor models

Song, Song - 2010

In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche Konfidenzbänder sind daher für nichtparametrische Quantil...

Persistent link: https://www.econbiz.de/10009467050

High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model

Song, Song; Härdle, Wolfgang Karl; Ritov, Ya'acov - 2010

(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...

Persistent link: https://www.econbiz.de/10010281515

High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model

Song, Song; Härdle, Wolfgang K.; Ya'acov Ritov - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10010587711

Joint Dynamics of Implied Volatility of Liquid DAX Components

Chen, Yanfeng - 2009

interesting task for researchers. Dynamic semiparametric factor models (DSFM) are used to model the implied volatility surface. It …

Persistent link: https://www.econbiz.de/10009467140

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

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

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

volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied …. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface …

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

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136