find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …

specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is … the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation …. -- financial market modelling ; deflator ; risk premium ; contingent claim pricing ; incomplete market …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

; Additive Models ; Derivative Estimation ; Production Function …

future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless … rational individual always voluntarily purchase protection against such risk? A model is developed to shed some light on this … aspect. It shows that the optimal behaviour depends - as expected - on the cost of protection and the risk preferences of the …