prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …