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Auflistung nach Autor "Mungo, Julius"
Anzeige der Publikationen 1-6 von 6
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2009-03-23DiskussionspapierA Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics Cao, Ji; Härdle, Wolfgang Karl; Mungo, JuliusAs 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 ...
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2004-05-17Masterarbeite-learning/e-teaching Mungo, JuliusIn 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 ...
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2007-05-18DiskussionspapierLong Memory Persistence in the Factor of ImpliedVolatility Dynamics Härdle, Wolfgang Karl; Mungo, JuliusThe 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 ...
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2006-09-11DiskussionspapierOn the Difficulty to Design Arabic E-learning System in Statistics Ahmad, Taleb; Härdle, Wolfgang Karl; Mungo, JuliusIn 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 ...
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2008-01-07DiskussionspapierValue-at-Risk and Expected Shortfall when there is long range dependence Härdle, Wolfgang Karl; Mungo, JuliusEmpirical 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 ...
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2006-02-03DiskussionspapierVAR Modeling for Dynamic Semiparametric Factors of Volatility Strings Brüggemann, Ralf; Härdle, Wolfgang Karl; Mungo, Julius; Trenkler, CarstenThe 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 ...