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Implied volatility string dynamics

Citations

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

  1. 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. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. 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.
  4. Matthias Fengler, 2009. "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 417-428.
  5. Kneip, Alois & Benko, Michal, 2005. "Common functional component modelling," SFB 649 Discussion Papers 2005-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. 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.
  7. 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.
  8. 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.
  9. repec:hum:wpaper:sfb649dp2012-045 is not listed on IDEAS
  10. repec:hum:wpaper:sfb649dp2012-066 is not listed on IDEAS
  11. repec:hum:wpaper:sfb649dp2010-039 is not listed on IDEAS
  12. Giacomini, Enzo & Härdle, Wolfgang Karl, 2007. "Statistics of risk aversion," SFB 649 Discussion Papers 2007-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. repec:hum:wpaper:sfb649dp2007-025 is not listed on IDEAS
  14. 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.
  15. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
  16. repec:hum:wpaper:sfb649dp2005-021 is not listed on IDEAS
  17. René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
  18. repec:hum:wpaper:sfb649dp2005-016 is not listed on IDEAS
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Grith, Maria & Härdle, Wolfgang Karl & Schienle, Melanie, 2010. "Nonparametric estimation of risk-neutral densities," SFB 649 Discussion Papers 2010-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  26. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
  27. 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.
  28. repec:hum:wpaper:sfb649dp2005-019 is not listed on IDEAS
  29. 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.
  30. repec:hum:wpaper:sfb649dp2008-038 is not listed on IDEAS
  31. Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010. "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers 2010-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  32. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
  33. repec:hum:wpaper:sfb649dp2007-023 is not listed on IDEAS
  34. repec:hum:wpaper:sfb649dp2010-021 is not listed on IDEAS
  35. repec:hum:wpaper:sfb649dp2006-034 is not listed on IDEAS
  36. Härdle, Wolfgang Karl & Silyakova, Elena, 2012. "Implied basket correlation dynamics," SFB 649 Discussion Papers 2012-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  37. 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.
  38. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
  39. Härdle, Wolfgang Karl & Hlávka, Zdeněk, 2005. "Dynamics of state price densities," SFB 649 Discussion Papers 2005-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  40. 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.
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