A semiparametric factor model for implied volatility surface dynamics
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- Bernales, Alejandro & Guidolin, Massimo, 2014.
"Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests,"
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- Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016. "Dynamic Factor Models for the Volatility Surface," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 127-174 Emerald Publishing Ltd.
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- Barbara ChoroÅ›-Tomczyk & Wolfgang Karl HÃ¤rdle & 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.
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