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A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

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Table 1: Summary statistics on the data base from 199801 to 200105 for the IVS application in Section 3.2, entirely and on an annual basis
Figure 3: Left panel: convergence in the IVS models. Solid line shows the L 1 , the dotted line the L 2 measure of convergence
Table 2: Bandwidth selection via AIC as given in (33) and (34) for different choices of h:
Table 3: Summary statistics on ( b β 1 , b β 2 , b β 3 ) > from Section 3.2.
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