Dynamic Factor Models for the Volatility Surface
Year of publication: |
2016
|
---|---|
Authors: | van der Wel, Michel |
Other Persons: | Ozturk, Sait (contributor) ; van Dijk, Dick J. C. (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Faktorenanalyse | Factor analysis |
Extent: | 1 Online-Ressource (51 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 9, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2558018 [DOI] |
Classification: | C32 - Time-Series Models ; c58 ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu, (2014)
-
Gribisch, Bastian, (2013)
-
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Pelger, Markus, (2018)
- More ...
-
Why Do the Pit Hours Outlive the Pit?
Ozturk, Sait, (2016)
-
Intraday Price Discovery in Fragmented Markets
Ozturk, Sait, (2016)
-
Intraday Price Discovery in Fragmented Markets
Ozturk, Sait, (2014)
- More ...