Implied volatility string dynamics
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More about this item
Keywords
Implied Volatility Surface; Smile; Generalized Additive Models; Backfitting; Functional Principal Component Analysis;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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