A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
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Keywordsimplied volatility surface; dynamic semiparametric factor model; VAR; cointegration;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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