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Persistent link: https://www.econbiz.de/10012197134

Price discovery in international equity trading

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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 … to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …

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