Article PDF
Avoid common mistakes on your manuscript.
References
ALEXANDER, C. (2001): “Principals of the skew”, RISK, March 2001.
CONT, R. and J. FONSECA (2002): “Dynamics of implied volatility surfaces”, Working paper, Ecole Polytechnique, Palaiseau, France.
DERMAN, E. (1999): “Volatility Regimes”, RISK, April 1999, 55–59.
FENGLER, M., W. HÄRDLE and CH. VILLA (2001): “Common Principal Components Analysis and the Dynamics of Implied Volatilities”, Discussion Paper No. 38, Sonderforschungsbereich 373, Humboldt University Berlin.
HÄRDLE, W. and L. SIMAR (2002): Applied Multivariate Statistical Analysis, Springer Verlag Heidelberg, Heidelberg.
HÄRDLE, W., S. KLINKE and M. MÜLLER (2000): XploRe — The Interactive Statistical Computing Environment, Springer Verlag Heidelberg.
HÄRDLE, W., V. SPOKOINY and G. TEYSSIERE (2000): “Adaptive Estimation for a Time Inhomogeneous Stochastic-Volatility Model”, Discussion Paper No. 6, Sonderforschungsbereich 373, Humboldt University Berlin.
REDELBERGER, T. (1994): “Grundlagen und Konstruktion des VDAX-Volatilitätsindex der Deutsche Börse AG”, Deutsche Börse AG.
SCHÖNBUCHER, J. (1999): “A Market Model for Stochastic Implied Volatility”, Philosophical Transactions of the Royal Society, Series A, Vol. 357, No. 1758, August 1999, 2071–2092.
SKIADOPOULOS, G., S. HODGES and L. CLEW-LOW (1999): “The Dynamics of Implied Volatility Surfaces”, Review of Derivative Research, 3, 263–282.
STUDER, G. (1995): “Value at Risk and Maximum Loss Optimization”, Discussion Paper, ETHZ, Risk-Lab: Technical Report.
SYLLA, A. and CH. VILLA (2000): Measuring Implied Surface Risk using PCA, in: FRANKE, J., HÄRDLE, W. and STAHL, G. (eds.): Measuring Risk in Complex Stochastic Systems, LNS 147, Springer Verlag, New York, p 131–147.
TALEB, N. (1997): Dynamic Hedging: Managing Vanilla and Exotic Options, John Wiley, New York.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Fengler, M., Härdle, W. & Schmidt, P. Common factors governing VDAX movements and the maximum loss. Fin Mkts Portfolio Mgmt 16, 16–29 (2002). https://doi.org/10.1007/s11408-002-0102-1
Issue Date:
DOI: https://doi.org/10.1007/s11408-002-0102-1