Common factors governing VDAX movements and the maximum loss
Year of publication: |
2000
|
---|---|
Authors: | Härdle, Wolfgang ; Schmidt, Peter |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Implied Volatility | DAX Options | Term Structure Movements | PCA | Maximum Loss |
Series: | SFB 373 Discussion Paper ; 2000,97 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 723877939 [GVK] hdl:10419/62224 [Handle] RePEc:zbw:sfb373:200097 [RePEc] |
Source: |
-
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang, (2000)
-
Jandacka, Martin, (2009)
-
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas, (2012)
- More ...
-
Hall, Peter, (1999)
-
The analysis of implied volatilities
Fengler, Matthias R., (2001)
-
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang, (2000)
- More ...