Common Functional Implied Volatility Analysis
Author:
Publisher
Springer-Verlag
Link
http://link.springer.com/content/pdf/10.1007/3-540-27395-6_5.pdf
Reference14 articles.
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3. Flury, B. (1988). Common Principal Components and Related Models, Wiley, New York.
4. Fengler, M., Härdle, W., and Schmidt, P. (2002). Common Factors Governing VDAX Movements and the Maximum Loss, Journal of Financial Markets and Portfolio Management 16(1): 16–29.
5. Fengler, M., Härdle, W., and Villa, P. (2003). The Dynamics of Implied Volatilities: A common principle components approach, Review of Derivative Research 6: 179–202.
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