VAR modeling for dynamic semiparametric factors of volatility strings
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Cited by:
- Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2012-048 is not listed on IDEAS
- Ostap Okhrin & Stefan Trück, 2015. "Editorial to the special issue on Applicable semiparametrics of computational statistics," Computational Statistics, Springer, vol. 30(3), pages 641-646, September.
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More about this item
Keywords
Implied volatility surface; dynamic semiparametric factor model; unit root tests; vector autoregression; impulse responses.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-02-12 (Econometrics)
- NEP-ETS-2006-02-12 (Econometric Time Series)
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