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A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 376-413
Persistent link: https://www.econbiz.de/10011339301
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Shape invariant modeling of pricing kernels and risk aversion
Grith, Maria; Härdle, Wolfgang; Park, Juhyun - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 370-399
Persistent link: https://www.econbiz.de/10009745814
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VAR modeling for dynamic loadings driving volatility strings
Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 361-381
Persistent link: https://www.econbiz.de/10003748062
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Time inhomogenous multiple volatility modeling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95
Persistent link: https://www.econbiz.de/10002220931