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2009-03-23Buch DOI: 10.18452/4184
A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
dc.contributor.authorCao, Ji
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorMungo, Julius
dc.date.accessioned2017-06-15T23:54:09Z
dc.date.available2017-06-15T23:54:09Z
dc.date.created2009-04-29
dc.date.issued2009-03-23
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4836
dc.description.abstractAs 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 surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between German and Korean stock markets. As proxy for the volatility, factor loadings series derived from a DSFM application on option prices are employed. We examine volatility transmission between the markets under the vector autoregressive (VAR) model framework. Our results show that a shock in the volatility of one market may not translate directly into greater uncertainty in another market and it is unlikely that portfolio investors can benefit from diversification among these markets due to cointegration.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectimplied volatility surfaceeng
dc.subjectdynamic semiparametric factor modeleng
dc.subjectVAReng
dc.subjectcointegrationeng
dc.subject.ddc330 Wirtschaft
dc.titleA Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097518
dc.identifier.doihttp://dx.doi.org/10.18452/4184
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages23
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue19
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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