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Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

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...

Persistent link: https://www.econbiz.de/10009663844

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916170

Regression quantiles with errors-in-variables

Ioannides, D. A. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916755

How to improve the performances of DEA/FDH estimators in the presence of noise?

Simar, Léopold (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916770

Confidence intervals for state price densities

Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916784

MD*Book and XQC/XQS - an architecture for reproducible research

Klinke, Sigbert (contributor); Lehmann, Heiko (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916797

About sense and nonsense of non- and semiparametric analysis in applied econometrics

Sperlich, Stefan (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916809

Asymptotic theory for m-estimators of boundaries

Knight, Keith (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916817

Nonparametric and semiparametric estimation of additive models with both discrete continuous variables under dependence

Camlong-Viot, Christine (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916840

Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries

Holtemöller, Oliver (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916957

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