Showing 1 - 10 of 9,288
Persistent link: https://www.econbiz.de/10013256803
Persistent link: https://www.econbiz.de/10003789486
Persistent link: https://www.econbiz.de/10008856799
Persistent link: https://www.econbiz.de/10011317308
Persistent link: https://www.econbiz.de/10009673617
Persistent link: https://www.econbiz.de/10009674900
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 …
Persistent link: https://www.econbiz.de/10003828611
Persistent link: https://www.econbiz.de/10003270782
Persistent link: https://www.econbiz.de/10002392690
Persistent link: https://www.econbiz.de/10001451366