A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy tailed distributions. We show that the recently proposed MAVE and OPG methods by Xia et al. (2002) allow us to make them robust in a relatively straightforward way...

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...

A huge body of empirical and theoretical literature has emerged on the relationship between exchange rate uncertainty and international trade. In empirical studies the estimated impacts of exchange rate uncertainty on trade figures are at most weak and often ambiguous with respect to their...

A definition of selfinformative Bayes carriers or limits is given as a description of an approach to noninformative Bayes estimation in non- and semiparametric models. It takes the posterior w.r.t. a prior as a new prior and repeats this procedure again and again. A main objective of the paper...

Short rates of interest are considered within in the term structure model of Eberlein-Raible [6] driven by a Lévy process. It is shown that they are Markovian if and only if the volatility function factorizes. This extends results of Caverhill [5] for the Wiener process and of Eberlein, Raible...

In this paper we study time-varying coefficient models with time trend function and serially correlated errors to characterize nonlinear, nonstationary and trending phenomenon in time series. Compared with the Nadaraya-Watson method, the local linear approach is developed to estimate the time...

The geometric Brownian motion is the solution of a linear stochastic differential equation in the Itô-sense. If one adds to the drift term a possible nonlinear time delayed term and starts with a nonnegative initial process then the process generated in this way, may hit zero and may oscillate...

This paper studies the oscillatory properties of solutions of linear scalar stochastic delay differential equations with multiplicative noise. It is shown that such noise will induce an oscillation in the solution whenever there is negative feedback from the delay term. The zeros of the process...

The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...