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Modelling Financial High Frequency Data Using Point Processes
Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so …
Persistent link: https://www.econbiz.de/10005860832
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10005861020
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PLS Path Modeling - A Software Review
Temme, Dirk; Kreis, Henning; Hildebrandt, Lutz - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
After years of stagnancy, PLS path modeling has recently attracted renewed interest from applied researchers in … path modeling software is on equal footing regarding ease of use, but clearly lags behind in terms of methodological …
Persistent link: https://www.econbiz.de/10005861232