Resource title

VAR modeling for dynamic semiparametric factors of volatility strings

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Resource description

The implied volatility of a European 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 times series using the vector autoregressive (VAR) framework and analyzes associated movements of these factors with movements in some macroeconomic variables of the Euro-economy.

Resource author

Ralf Brüggemann, Wolfgang Karl Härdle, Julius Mungo, Carsten Trenkler

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25094

Resource license

Adapt according to the presented license agreement and reference the original author.