Volatility Smile Harvesting: Dynamic Nelson-Siegel Approach
Dynamic Nelson-Siegel Approach: The research assesses the Dynamic Nelson–Siegel approach to modeling volatility smile, demonstrating its superior performance over static models in mean returns and Sharpe ratio.
Featured in No. 20 on 12 Oct 2023 · on release day
- Released
- 12 Oct 2023
- First featured
- No. 20 · 12 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 23
- Identifier
- RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644
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