Wel, Michel van der; Ozturk, Sait R.; Dijk, Dick van - School of Economics and Management, University of Aarhus - 2015
prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility … general dynamic factor model, restricted factor models designed to capture the key features of the surface along the moneyness …-based models are both rejected against the general dynamic factor model, (ii) the factors driving the surface are highly persistent …