Forecasting Implied Volatility Surfaces
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References listed on IDEAS
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More about this item
Keywords
Implied Volatility; Implied Volatility Surface; Forecasting; Tree Boosting; Regression Tree; Functional Gradient Descent;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-11-24 (Econometrics)
- NEP-ETS-2007-11-24 (Econometric Time Series)
- NEP-FOR-2007-11-24 (Forecasting)
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