Publikation:

VAR Modeling for Dynamic Loadings Driving Volatility Strings

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2008

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Härdle, Wolfgang
Mungo, Julius
Trenkler, Carsten

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-94159
DOI (zitierfähiger Link)
https://doi.org/10.1093/jjfinec/nbn004
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Journal of Financial Econometrics. 2008, 6(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004

Zusammenfassung

The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor representation of these dynamics. This paper presents an investigation into the stochastic properties of the factor loading time series using the vector autoregressive (VAR) framework and analyzes the dynamic relationship of these factors with economic indicators.

Zusammenfassung in einer weiteren Sprache

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330 Wirtschaft

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implied volatility surface, dynamic semiparametric factor model, vector autoregression, impulse responses

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ISO 690BRÜGGEMANN, Ralf, Wolfgang HÄRDLE, Julius MUNGO, Carsten TRENKLER, 2008. VAR Modeling for Dynamic Loadings Driving Volatility Strings. In: Journal of Financial Econometrics. 2008, 6(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004
BibTex
@article{Bruggemann2008Model-1904,
  year={2008},
  doi={10.1093/jjfinec/nbn004},
  title={VAR Modeling for Dynamic Loadings Driving Volatility Strings},
  number={3},
  volume={6},
  journal={Journal of Financial Econometrics},
  pages={361--381},
  author={Brüggemann, Ralf and Härdle, Wolfgang and Mungo, Julius and Trenkler, Carsten}
}
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