Showing 1 - 10 of 25
As a function of strike and time to maturity the implied volatilityestimation is a challenging task in nancial econometrics. DynamicSemiparametric Factor Models (DSFM) are a model class that allowsfor the estimation of the implied volatility surface (IVS) in a dynamiccontext, employing...
Persistent link: https://www.econbiz.de/10005865444
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
Persistent link: https://www.econbiz.de/10010274154
The supply of affordable crop insurance is hampered by the existence of systemic weather risk which results in large risk premiums. In this article, we assess the systemic nature of weather risk for 17 agricultural production regions in China and explore the possibility of spatial...
Persistent link: https://www.econbiz.de/10010281554
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
Persistent link: https://www.econbiz.de/10010319192
In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language -Arabic MM*STAT. The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universit¨at zu Berlin. Arabic...
Persistent link: https://www.econbiz.de/10010274120
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10010274129
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10010274140
We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10005861031
Modern computing equipment is present at schools and universities at all levelsof education. 4 In the statistical sciences computers offer great opportunities toenrich the learning process by the means of e.g. animations, software integrationor on-the-fly computations. A personal review of...
Persistent link: https://www.econbiz.de/10005861631
With the increase of e-learning by universities and educational institutes in the worldthrough more electronic platforms, come the questions to researchers, educators anddesigners of electronic platforms about feasibility and using this method of learning.Are we achieving the desired goals and...
Persistent link: https://www.econbiz.de/10005862546