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The implied volatility of an 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 (IVS) in a...
Persistent link: https://www.econbiz.de/10004998221
The implied volatility of an 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 (IVS) in a...
Persistent link: https://www.econbiz.de/10012747360
The new regulation of the EU for financial products (UCITS IV) prescribes Value at Risk (VaR) as the benchmark for assessing the risk of structured products. We discuss the limitations of this approach and show that, in theory, the expected return of structured products is unbounded while the...
Persistent link: https://www.econbiz.de/10010866515
Along with many others, we agree that a modern education in statistics needs to incorporate the practical analysis of real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in the teaching of statistics includes standard spreadsheet...
Persistent link: https://www.econbiz.de/10005489968
Persistent link: https://www.econbiz.de/10005390535
This paper describes a method for testing a parametric model of the mean of a random variable <italic>Y</italic> conditional on a vector of explanatory variables <italic>X</italic> against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing...
Persistent link: https://www.econbiz.de/10005411704
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...
Persistent link: https://www.econbiz.de/10010772306
Persistent link: https://www.econbiz.de/10010983410
Additive modelling has been widely used in nonparametric regression to circumvent the curse of dimensionality, by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...
Persistent link: https://www.econbiz.de/10010983415
A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...
Persistent link: https://www.econbiz.de/10010983426