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Market set-up in advance of Federal Reserve policy decisions

Dijk, Dick van; Lumsdaine, Robin L.; Wel, Michel van der - 2014

Persistent link: https://www.econbiz.de/10010239989

Combining density forecasts using focused scoring rules

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of applied econometrics 32 (2017) 7, pp. 1298-1313

Persistent link: https://www.econbiz.de/10011862725

Market set‐up in advance of federal reserve policy rate decisions

Dijk, Dick van; Lumsdaine, Robin L.; Wel, Michel van der - In: The economic journal : the journal of the Royal … 126 (2016) 592, pp. 618-653

Persistent link: https://www.econbiz.de/10011620467

Intraday price discovery in fragmented markets

Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - In: Journal of financial markets 32 (2017), pp. 28-48

Persistent link: https://www.econbiz.de/10011814977

Dynamic Factor Models for the Volatility Surface

van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van - In: Dynamic factor models, (pp. 127-174). 2016

The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine...

Persistent link: https://www.econbiz.de/10015365842