The dynamics of implied volatilities: a common principal components approach

Christophe Villa, Matthias Fengler and W.K. Hardle
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Christophe Villa: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: implied volatilities; dynamics of implied volatilities; common principal components approach (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (41)

Published in Review of Derivatives Research, 2003, 6 (3), pp.179-202

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Related works:
Journal Article: The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)
Working Paper: The dynamics of implied volatilities: A common principal components approach (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00069509

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