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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
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 … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …
Persistent link: https://www.econbiz.de/10010274154
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A semiparametric factor model for electricity forward curve dynamics
Borak, Szymon; Weron, Rafał - 2008
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10010277182
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A semiparametric factor model for electricity forward curve dynamics
Borak, Szymon; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2008
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10005787045
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A semiparametric factor model for electricity forward curve dynamics
Borak, Szymon; Weron, Rafał - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10005207927
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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
As a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … nancial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …
Persistent link: https://www.econbiz.de/10005652743