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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10004944809
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10004943877
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Long memory persistence in the factor of implied volatility dynamics
Härdle, Wolfgang; Mungo, Julius - 2007
Persistent link: https://www.econbiz.de/10004890687