Implied volatility string dynamics

Citations

Cited by:

1. Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
   • Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
   • Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," Papers 1010.1617, arXiv.org.
   • Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
2. Härdle, Wolfgang Karl & Myšičková, Alena, 2008. "Numerics of implied binomial trees," SFB 649 Discussion Papers 2008-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
3. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
   • Fengler, Matthias R. & Härdle, Wolfgang Karl & 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.
4. repec:hum:wpaper:sfb649dp2012-045 is not listed on IDEAS
5. repec:hum:wpaper:sfb649dp2012-066 is not listed on IDEAS
6. repec:hum:wpaper:sfb649dp2010-039 is not listed on IDEAS
7. repec:hum:wpaper:sfb649dp2007-025 is not listed on IDEAS
8. Szymon Borak & Rafał Weron, . "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
   • Borak, Szymon & Weron, Rafał, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers 2008-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
   • Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
9. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
10. repec:hum:wpaper:sfb649dp2005-021 is not listed on IDEAS
11. René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
12. repec:hum:wpaper:sfb649dp2005-016 is not listed on IDEAS
13. M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007. "On extracting information implied in options," Computational Statistics, Springer, vol. 22(4), pages 543-553, December.
14. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
15. Song, Song & Bickel, Peter J., 2011. "Large vector auto regressions," SFB 649 Discussion Papers 2011-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
16. Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
17. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
18. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
19. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009. "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 387-402, December.
    • Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008. "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers 2008-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
20. repec:hum:wpaper:sfb649dp2005-019 is not listed on IDEAS
21. Wallmeier, Martin, 2012. "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers 427, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
22. repec:hum:wpaper:sfb649dp2008-038 is not listed on IDEAS
23. repec:hum:wpaper:sfb649dp2007-023 is not listed on IDEAS
24. repec:hum:wpaper:sfb649dp2010-021 is not listed on IDEAS
25. repec:hum:wpaper:sfb649dp2006-034 is not listed on IDEAS
26. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    • Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
27. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
    • Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
28. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
29. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
    • Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers 02/13, Institute for Fiscal Studies.
    • Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
30. Benko, Michal & Härdle, Wolfgang Karl & Kneip, Alois, 2006. "Common functional principal components," SFB 649 Discussion Papers 2006-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.