rate can be nonparametric for the risk premium parameters. We derive the kernel nonparametric efficiency bounds for … are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated … prices, and to estimate the risk premium parameters. …

as time-varying volatility and fat tails. Most im- portantly, the determination of model weights in AFreTER is based on …

,Carhart’s four-factor extension of it adding a momentum factor, and a five-factor extension adding an own-volatility factor. We find … that momentum and own-volatility factors are at least as important if not more important than size and value in explaining … equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …

This empirical study analyzes market and currency risk premia during financial and political crises within the … Germany. Market risk is measured against the world market and currency risk against the deposits in Swiss franc, British pound … significant time-varying market and currency risk premia. The market prices of risk and risk premia are both statistically and …

We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various …

investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …

various assumptions about the underlying price process including large drifts, stochastic volatility with leverage effects and …- value based estimators are superior both in terms of bias and efficiency for any given sampling frequency for all considered … futures data sampled at a 5-minute frequency. A state-space framework reveals the latent stochastic volatility process and …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …