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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang Karl; Mungo, Julius - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10010274129
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl; Mungo, Julius - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10010274140
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Value-at-Risk and Expected Shortfall when there is long range dependence.
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10005678005
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10005678046
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10003636008