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A semiparametric factor model for implied volatility surface dynamics
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Cited by:
- Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019.
"Implied volatility surface predictability: The case of commodity markets,"
Journal of Banking & Finance, Elsevier, vol. 108(C).
- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
- Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen.
- Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
- Enzo Giacomini & Wolfgang Härdle, 2007. "Statistics of Risk Aversion," SFB 649 Discussion Papers SFB649DP2007-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Barbara Choroś-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin, 2013. "CDO Surfaces Dynamics," SFB 649 Discussion Papers SFB649DP2013-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
- Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
- Song Song & Peter J. Bickel, 2011.
"Large Vector Auto Regressions,"
SFB 649 Discussion Papers
SFB649DP2011-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
- Bernales, Alejandro & Guidolin, Massimo, 2014.
"Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
- Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
- Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
- Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
- Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009.
"Dynamic semiparametric factor models in risk neutral density estimation,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 387-402, December.
- Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2008. "Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation," SFB 649 Discussion Papers SFB649DP2008-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009.
"Time Series Modelling With Semiparametric Factor Dynamics,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hanousek, Jan & Novotný, Jan, 2012.
"Price jumps in Visegrad-country stock markets: An empirical analysis,"
Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
- Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
- Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015.
"A semiparametric model for heterogeneous panel data with fixed effects,"
Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen, 2009.
"Non-parametric regression with a latent time series,"
Econometrics Journal, Royal Economic Society, vol. 12(2), pages 187-207, July.
- Oliver Linton & Søren Feodor Nielsen & Jens Perch Nielsen, 2009. "Nonparametric Regression with a Latent Time Series," STICERD - Econometrics Paper Series 538, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
- Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
- Yaxiong Zeng & Diego Klabjan, 2017. "Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling," Papers 1706.01833, arXiv.org, revised Jun 2018.
- Likai Chen & Weining Wang & Wei Biao Wu, 2017. "Dynamic Semiparametric Factor Model with a Common Break," SFB 649 Discussion Papers SFB649DP2017-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2010. "High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model," SFB 649 Discussion Papers SFB649DP2010-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Szymon Borak & Rafał Weron, 2008.
"A semiparametric factor model for electricity forward curve dynamics,"
SFB 649 Discussion Papers
SFB649DP2008-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
- Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011. "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 711-727.
- Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2015.
"Modelling spatio-temporal variability of temperature,"
Computational Statistics, Springer, vol. 30(3), pages 745-766, September.
- Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers SFB649DP2014-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Ostap Okhrin & Stefan Trück, 2015. "Editorial to the special issue on Applicable semiparametrics of computational statistics," Computational Statistics, Springer, vol. 30(3), pages 641-646, September.
- Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
- Bernales, Alejandro & Guidolin, Massimo, 2015.
"Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?,"
Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
- Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Wallmeier, Martin, 2012. "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers 427, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
- Wolfgang Karl Hardle & Elena Silyakova, 2020. "Implied Basket Correlation Dynamics," Papers 2009.09770, arXiv.org.