Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Mungo, Julius"'
Publikováno v:
Journal of Business Economics and Management. (1):20-33
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=267190
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility sur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::10313eddc5d894999c30ff4ea31d4705
http://edoc.hu-berlin.de/18452/4836
http://edoc.hu-berlin.de/18452/4836
Autor:
Härdle, Wolfgang, Mungo, Julius
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::6c5143d7af26bc3d8d39173ce5d94372
http://edoc.hu-berlin.de/18452/4749
http://edoc.hu-berlin.de/18452/4749
Autor:
Härdle, Wolfgang Karl, Mungo, Julius
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::6397767118bd7f5a1848ea83e53378d9
https://hdl.handle.net/10419/25248
https://hdl.handle.net/10419/25248
Autor:
Härdle, Wolfgang, Mungo, Julius
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc6d388207523a9114fb1141eda6157f
http://edoc.hu-berlin.de/18452/4698
http://edoc.hu-berlin.de/18452/4698
Autor:
Härdle, Wolfgang Karl, Mungo, Julius
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::7622b8fe782cb966def14fc65e67025f
https://hdl.handle.net/10419/25199
https://hdl.handle.net/10419/25199
In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language –``Arabic MM*STAT´´. The basic frame forthis E-book, the system MM*STAT was developed at the School for Business and Econ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::217abdc97239021bf1558aa9de059368
http://edoc.hu-berlin.de/18452/4644
http://edoc.hu-berlin.de/18452/4644
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::f9f8b3767eb75d3ae816f7a965244740
http://edoc.hu-berlin.de/18452/4590
http://edoc.hu-berlin.de/18452/4590
Autor:
Mungo, Julius
In today’s net-based technology culture, a new way of learning/teaching, accessing or preparing learning materials is finding root in Education. It is enabling individuals and institutions to play a more powerful and attractive role in the educatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::8e3cd8876e6c28dcb84acf43be00831e
http://edoc.hu-berlin.de/18452/14696
http://edoc.hu-berlin.de/18452/14696