VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Download full text from publisher
References listed on IDEAS
- Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 45-60.
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies,
Oxford University Press, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003.
"The Dynamics of Implied Volatilities: A Common Principal Components Approach,"
Review of Derivatives Research,
Springer, pages 179-202.
- Fengler, Matthias R. & Härdle, Wolfgang K. & Villa, Christophe, 2001. "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers 2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christophe Villa & M.R. Fengler & W.K. Hardle, 2003. "The dynamics of implied volatilities : a common principal components approach," Post-Print halshs-00069509, HAL.
- Szymon Borak & Matthias Fengler & Wolfgang Härdle, 2005. "DSFM fitting of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2005-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Perron, Pierre & Rodriguez, Gabriel, 2003.
"GLS detrending, efficient unit root tests and structural change,"
Journal of Econometrics,
Elsevier, pages 1-27.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Wolfgang Karl HÃ¤rdle,Piotr Majer & Melanie Schienle, 2012. "Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2012-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
More about this item
KeywordsImplied volatility surface; dynamic semiparametric factor model; unit root tests; vector autoregression; impulse responses;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-12 (All new papers)
- NEP-ECM-2006-02-12 (Econometrics)
- NEP-ETS-2006-02-12 (Econometric Time Series)
- NEP-MAC-2006-02-12 (Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2006-011. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team). General contact details of provider: http://edirc.repec.org/data/sohubde.html .