IDEAS home Printed from https://ideas.repec.org/r/zbw/sfb373/200354.html

Implied volatility string dynamics

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. repec:hum:wpaper:sfb649dp2012-045 is not listed on IDEAS
  3. repec:hum:wpaper:sfb649dp2007-025 is not listed on IDEAS
  4. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
  5. René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
  6. 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.
  7. 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.
  8. 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.
  9. repec:hum:wpaper:sfb649dp2005-019 is not listed on IDEAS
  10. repec:hum:wpaper:sfb649dp2008-038 is not listed on IDEAS
  11. repec:hum:wpaper:sfb649dp2007-023 is not listed on IDEAS
  12. repec:hum:wpaper:sfb649dp2006-034 is not listed on IDEAS
  13. 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.
  14. 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.
  15. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
  16. 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.
  17. Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2011. "FX smile in the Heston model," Springer Books, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron (ed.), Statistical Tools for Finance and Insurance, chapter 4, pages 133-162, Springer.
  18. 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.
  19. repec:hum:wpaper:sfb649dp2012-066 is not listed on IDEAS
  20. repec:hum:wpaper:sfb649dp2010-039 is not listed on IDEAS
  21. Szymon Borak & Rafał Weron, . "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
  22. repec:hum:wpaper:sfb649dp2005-021 is not listed on IDEAS
  23. repec:hum:wpaper:sfb649dp2005-016 is not listed on IDEAS
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. repec:hum:wpaper:sfb649dp2010-021 is not listed on IDEAS
  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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.