Guo, Biao; Han, Qian; Zhao, Bin - In: Journal of Futures Markets 34 (2014) 8, pp. 788-806
<section xml:id="fut21653-sec-0001"> We develop the Nelson–Siegel model in the context of option‐implied volatility term structure and study the time series of volatility components. Three components, corresponding to the level, slope, and curvature of the volatility term structure, can be interpreted as the long‐,...</section>