كتاب
Dynamic Factor Models for the Volatility Surface
| العنوان: | Dynamic Factor Models for the Volatility Surface |
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| المؤلفون: | Wel, Michel van der, Ozturk, Sait R., Dijk, Dick van |
| المساهمون: | Hillebrand, Eric, Koopman, Siem Jan |
| المصدر: | Wel , M V D , Ozturk , S R & Dijk , D V 2016 , Dynamic Factor Models for the Volatility Surface . in E Hillebrand & S J Koopman (eds) , Advances in Econometrics . vol. 35 , Emerald Group Publishing , Bingley , Advances in Econometrics , vol. 35 , pp. 127-174 . https://doi.org/10.1108/S0731-905320150000035004Test |
| بيانات النشر: | Emerald Group Publishing |
| سنة النشر: | 2016 |
| المجموعة: | Aarhus University: Research |
| مصطلحات موضوعية: | Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Max-imum likelihood |
| نوع الوثيقة: | book part |
| اللغة: | English |
| DOI: | 10.1108/S0731-905320150000035004 |
| الإتاحة: | https://doi.org/10.1108/S0731-905320150000035004Test https://pure.au.dk/portal/da/publications/dynamic-factor-models-for-the-volatility-surfaceTest(93c2c974-acd9-4f2f-85d9-76e56e1cf600).html |
| حقوق: | info:eu-repo/semantics/restrictedAccess |
| رقم الانضمام: | edsbas.96321694 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1108/S0731-905320150000035004 |
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