Dynamic factor models for the volatility surface

Research output: Chapter/Conference proceeding › Chapter › Academic

Series	Advances in Econometrics
Volume	35

Research programs

@inbook{6fa624efa5a545869e00d0ff859425a7,

title = "Dynamic factor models for the volatility surface",

author = "\{van der Wel\}, Michel and SR Ozturk and \{van Dijk\}, Dick",

year = "2016",

doi = "10.1108/S0731-905320150000035004",

language = "English",

isbn = "9781785603532",

series = "Advances in Econometrics",

pages = "127--174",

editor = "E. Hillebrand and S.J. Koopman",

booktitle = "Dynamic Factor Models",

}

TY - CHAP

T1 - Dynamic factor models for the volatility surface

AU - van der Wel, Michel

AU - Ozturk, SR

AU - van Dijk, Dick

PY - 2016

Y1 - 2016

U2 - 10.1108/S0731-905320150000035004

DO - 10.1108/S0731-905320150000035004

M3 - Chapter

SN - 9781785603532

T3 - Advances in Econometrics

SP - 127

EP - 174

BT - Dynamic Factor Models

A2 - Hillebrand, E.

A2 - Koopman, S.J.

ER -