Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "Implied Volatility"

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2005-09-30Buch

Common Factors Governing VDAX Movements and the Maximum Loss

Härdle, Wolfgang Karl; Schmidt, Peter

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to ...