VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
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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)
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