VAR Modeling for Dynamic Loadings Driving Volatility Strings

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dc.contributor.authorBrüggemann, Ralf
dc.contributor.authorHärdle, Wolfgangdeu
dc.contributor.authorMungo, Juliusdeu
dc.contributor.authorTrenkler, Carstendeu
dc.date.accessioned2011-03-23T09:36:20Zdeu
dc.date.available2011-03-23T09:36:20Zdeu
dc.date.issued2008deu
dc.description.abstractThe 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.eng
dc.description.versionpublished
dc.identifier.citationPubl. in : Journal of Financial Econometrics 6 (2008), 3, pp. 361-381deu
dc.identifier.doi10.1093/jjfinec/nbn004
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/1904
dc.language.isoengdeu
dc.legacy.dateIssued2009deu
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectimplied volatility surfacedeu
dc.subjectdynamic semiparametric factor modeldeu
dc.subjectvector autoregressiondeu
dc.subjectimpulse responsesdeu
dc.subject.ddc330deu
dc.subject.jelC32 - Timedeu
dc.subject.jelC14 - Semideu
dc.titleVAR Modeling for Dynamic Loadings Driving Volatility Stringseng
dc.typeJOURNAL_ARTICLEdeu
dspace.entity.typePublication
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  doi={10.1093/jjfinec/nbn004},
  title={VAR Modeling for Dynamic Loadings Driving Volatility Strings},
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  volume={6},
  journal={Journal of Financial Econometrics},
  pages={361--381},
  author={Brüggemann, Ralf and Härdle, Wolfgang and Mungo, Julius and Trenkler, Carsten}
}
kops.citation.iso690BRÜGGEMANN, 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/nbn004deu
kops.citation.iso690BRÜGGEMANN, 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/nbn004eng
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kops.sourcefieldJournal of Financial Econometrics. 2008, <b>6</b>(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004deu
kops.sourcefield.plainJournal of Financial Econometrics. 2008, 6(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004deu
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