characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …

inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral … densities implied by prices of option on the DAX stock index. -- Dynamic factor models ; dimension reduction ; risk neutral …

volatility variable, when included into the training sample, boosts the predictive power of the model significantly …

volatility variable, when included into the training sample, boosts the predictive power of the model significantly. -- CART …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …