Cao, Ji; Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …. Dynamic
Semiparametric Factor Models (DSFM) are a model class that allows
for the estimation of the implied volatility surface ….
Keywords: implied volatility surface, dynamic semiparametric fac-
tor model, VAR, cointegration
JEL classi cation: C14; G12 …