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 …

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models …. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models …

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that … more general class of GARCH models with time varying coefficients and present an adaptive procedure which can estimate the …

highly non-linear and its numericalrepresentation is much less transparent. In classical rating models a …-parametric models achieving better accuracy often rely on visualisation. We demonstrate an application of visualisation techniques at … models with colour coding...br> …

In semiparametric models it is a common approach to under-smooth the nonparametric functions inorder that estimators of …

' interest and has leadto the consideration of long memory models for realized volatility. Thelong range diagnosis of volatility … shortmemory models of volatility with nonstationarities, such as structuralbreaks or regime switches, that spuriously generate a … ndthat our local approach outperforms long memory type models in termsof predictability. …

-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical …