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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
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Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010
Persistent link: https://www.econbiz.de/10009240321
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A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of Financial Econometrics 10 (2012) 3, pp. 457-493
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30-dimensional...
Persistent link: https://www.econbiz.de/10010690231
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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias; Herwartz, Helmut; Werner, Christian - School of Economics and Political Science, Universität … - 2010
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30 dimensional...
Persistent link: https://www.econbiz.de/10008784455
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Spatial transportation modeling
Werner, Christian - 1985
Persistent link: https://www.econbiz.de/10000695824
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Das deutsche Bankensystem im strukturellen Wandel
Werner, Christian - In: 30 Jahre Fachhochschule der Deutschen Bundesbank : …, (pp. 121-139). 2010
Persistent link: https://www.econbiz.de/10008806599
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Nutzen und Notwendigkeit ökonomischer Perspektiven auf Bildung
Werner, Christian - In: Handbuch Bildungsfinanzierung, (pp. 43-50). 2010
Persistent link: https://www.econbiz.de/10008749158
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The role of topology and geometry in optimal network design
Werner, Christian - In: Papers of the Regional Science Association 21 (1968), pp. 173-189
Persistent link: https://www.econbiz.de/10002979184
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Für Wirtschaft und Vaterland : Erneuerungsbewegungen und bürgerliche Interessengruppen in der Deutschschweiz 1928 - 1947
Werner, Christian - 2000
Persistent link: https://www.econbiz.de/10001495091