Showing 1 - 10 of 101
Persistent link: https://www.econbiz.de/10001918978
Persistent link: https://www.econbiz.de/10001918993
Persistent link: https://www.econbiz.de/10001919145
Persistent link: https://www.econbiz.de/10001919426
Persistent link: https://www.econbiz.de/10001916784
Persistent link: https://www.econbiz.de/10001916840
Persistent link: https://www.econbiz.de/10001917007
Persistent link: https://www.econbiz.de/10001917018
Persistent link: https://www.econbiz.de/10001917087
It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...
Persistent link: https://www.econbiz.de/10009613597