Forecasting the Term Structure of Variance Swaps
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KeywordsTerm structure; Variance swap curve; Heston model; Nelson-Siegel curve; Semiparametric factor model;
- G1 - Financial Economics - - General Financial Markets
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
- NEP-ECM-2006-07-15 (Econometrics)
- NEP-ETS-2006-07-15 (Econometric Time Series)
- NEP-FIN-2006-07-15 (Finance)
- NEP-FMK-2006-07-15 (Financial Markets)
- NEP-FOR-2006-07-15 (Forecasting)
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