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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
Persistent link: https://www.econbiz.de/10003828611
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Applied nonparametric methods
Härdle, Wolfgang; Linton, Oliver - 1994
Persistent link: https://www.econbiz.de/10000147122
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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Testing parametric versus semiparametric modelling in generalized linear models
Härdle, Wolfgang; Mammen, Enno; Müller, Marlene - 1996
Persistent link: https://www.econbiz.de/10000933986
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Applied nonparametric methods
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000831909
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How sensitive are average derivatives?
Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992
Persistent link: https://www.econbiz.de/10000834352
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Testomg increasing dispersion
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000839552
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang - 1997
Persistent link: https://www.econbiz.de/10000971105
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On saving, updating and dynamic programming : an experimental analysis
Anderhub, Vital; Güth, Werner; Härdle, Wolfgang; … - 1997
Persistent link: https://www.econbiz.de/10000971601
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Semiparametric additive indices for binary response and generalized additive models
Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; … - 1998
Persistent link: https://www.econbiz.de/10000998098