Dynamic factor models for the volatility surface

Research output: Chapter/Conference proceedingChapterAcademic

Original languageEnglish
Title of host publicationDynamic Factor Models
EditorsE. Hillebrand, S.J. Koopman
Pages127-174
Number of pages48
DOIs
Publication statusPublished - 2016

Publication series

SeriesAdvances in Econometrics
Volume35

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