Department of Economics and Business Economics

Dynamic Factor Models for the Volatility Surface

Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

Standard

Dynamic Factor Models for the Volatility Surface. / Wel, Michel van der; Ozturk, Sait R.; Dijk, Dick van.

Advances in Econometrics. ed. / Eric Hillebrand; Siem Jan Koopman. Vol. 35 Bingley : Emerald Group Publishing, 2016. p. 127-174 (Advances in Econometrics, Vol. 35).

Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

Harvard

Wel, MVD, Ozturk, SR & Dijk, DV 2016, Dynamic Factor Models for the Volatility Surface. in E Hillebrand & SJ Koopman (eds), Advances in Econometrics. vol. 35, Emerald Group Publishing, Bingley, Advances in Econometrics, vol. 35, pp. 127-174. https://doi.org/10.1108/S0731-905320150000035004

APA

Wel, M. V. D., Ozturk, S. R., & Dijk, D. V. (2016). Dynamic Factor Models for the Volatility Surface. In E. Hillebrand, & S. J. Koopman (Eds.), Advances in Econometrics (Vol. 35, pp. 127-174). Emerald Group Publishing. Advances in Econometrics, Vol.. 35 https://doi.org/10.1108/S0731-905320150000035004

CBE

Wel MVD, Ozturk SR, Dijk DV. 2016. Dynamic Factor Models for the Volatility Surface. Hillebrand E, Koopman SJ, editors. In Advances in Econometrics. Bingley: Emerald Group Publishing. pp. 127-174. (Advances in Econometrics, Vol. 35). https://doi.org/10.1108/S0731-905320150000035004

MLA

Wel, Michel van der, Sait R. Ozturk and Dick van Dijk "Dynamic Factor Models for the Volatility Surface". and Hillebrand, Eric Koopman, Siem Jan (editors). Advances in Econometrics. Bingley: Emerald Group Publishing. (Advances in Econometrics, Vol. 35). 2016, 127-174. https://doi.org/10.1108/S0731-905320150000035004

Vancouver

Wel MVD, Ozturk SR, Dijk DV. Dynamic Factor Models for the Volatility Surface. In Hillebrand E, Koopman SJ, editors, Advances in Econometrics. Vol. 35. Bingley: Emerald Group Publishing. 2016. p. 127-174. (Advances in Econometrics, Vol. 35). https://doi.org/10.1108/S0731-905320150000035004

Author

Wel, Michel van der ; Ozturk, Sait R. ; Dijk, Dick van. / Dynamic Factor Models for the Volatility Surface. Advances in Econometrics. editor / Eric Hillebrand ; Siem Jan Koopman. Vol. 35 Bingley : Emerald Group Publishing, 2016. pp. 127-174 (Advances in Econometrics, Vol. 35).

Bibtex

@inbook{93c2c974acd94f2f85d976e56e1cf600,
title = "Dynamic Factor Models for the Volatility Surface",
keywords = "Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Max-imum likelihood",
author = "Wel, {Michel van der} and Ozturk, {Sait R.} and Dijk, {Dick van}",
year = "2016",
doi = "10.1108/S0731-905320150000035004",
language = "English",
isbn = "978-1-78560-353-2",
volume = "35",
series = "Advances in Econometrics",
publisher = "Emerald Group Publishing",
pages = "127--174",
editor = "Eric Hillebrand and Koopman, {Siem Jan}",
booktitle = "Advances in Econometrics",

}

RIS

TY - CHAP

T1 - Dynamic Factor Models for the Volatility Surface

AU - Wel, Michel van der

AU - Ozturk, Sait R.

AU - Dijk, Dick van

PY - 2016

Y1 - 2016

KW - Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Max-imum likelihood

U2 - 10.1108/S0731-905320150000035004

DO - 10.1108/S0731-905320150000035004

M3 - Book chapter

SN - 978-1-78560-353-2

VL - 35

T3 - Advances in Econometrics

SP - 127

EP - 174

BT - Advances in Econometrics

A2 - Hillebrand, Eric

A2 - Koopman, Siem Jan

PB - Emerald Group Publishing

CY - Bingley

ER -