A dynamic copula approach to recovering the index implied volatility skew
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- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
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- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Herwartz, Helmut & Raters, Fabian H.C., 2015. "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, vol. 133(C), pages 73-76.
- Saldías, Martín, 2013.
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- Martin Saldías Zambrana, 2010. "Systemic risk analysis using forward-looking distance-to-default series," Working Paper 1005, Federal Reserve Bank of Cleveland.
- Martín Saldías, 2012. "Systemic Risk Analysis using Forward-Looking Distance-to-Default Series," Working Papers w201216, Banco de Portugal, Economics and Research Department.
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- Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
- Félix, Luiz & Kräussl, Roman & Stork, Philip, 2013. "The 2011 European short sale ban on financial stocks: A cure or a curse?," CFS Working Paper Series 2013/17, Center for Financial Studies (CFS).
More about this item
Keywords
Copula Dynamic Conditional Correlation; Basket Options; Multivariate GARCH Models; Change of Measure; Esscher Transform;JEL classification:
- 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
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2011-01-16 (All new papers)
- NEP-ECM-2011-01-16 (Econometrics)
- NEP-ORE-2011-01-16 (Operations Research)
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