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VAR modeling for dynamic semiparametric factors of volatility strings
Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; … - 2006
semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low …
Persistent link: https://www.econbiz.de/10010319192
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius - 2009
econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …
Persistent link: https://www.econbiz.de/10010274154
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A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …
Persistent link: https://www.econbiz.de/10005652743
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VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low …
Persistent link: https://www.econbiz.de/10005677917
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DSFM fitting of Implied Volatility Surfaces
Borak, Szymon; Fengler, Matthias; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex …
Persistent link: https://www.econbiz.de/10005677980