Arbeitspapier

VAR modeling for dynamic semiparametric factors of volatility strings

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.

Sprache
Englisch

Erschienen in
Series: SFB 649 Discussion Paper ; No. 2006-011

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Thema
Implied volatility surface
dynamic semiparametric factor model
unit root tests
vector autoregression
impulse responses.

Ereignis
Geistige Schöpfung
(wer)
Brüggemann, Ralf
Härdle, Wolfgang Karl
Mungo, Julius
Trenkler, Carsten
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(wo)
Berlin
(wann)
2006

Handle
Letzte Aktualisierung
20.09.2024, 08:22 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Brüggemann, Ralf
  • Härdle, Wolfgang Karl
  • Mungo, Julius
  • Trenkler, Carsten
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Entstanden

  • 2006

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