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A bootstrap test for single index models

Härdle, Wolfgang; Mammen, Enno; Proença, Isabel - 2000

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Bootstrap methods in nonparametric regression

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Comparing nonparametric versus parametric regression fits

Härdle, Wolfgang; Mammen, Enno - 1990

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Semiparametric additive indices for binary response and generalized additive models

Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; … - 1998

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Testing parametric versus semiparametric modelling in generalized linear models

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Comparing non parametric versus regression fits

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Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang; Mammen, Enno - In: Econometric theory 18 (2002) 4, pp. 886-912

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A dynamic semiparametric factor model for implied volatility string dynamics

Fengler, Matthias (contributor); … - 2005

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure...

Persistent link: https://www.econbiz.de/10003036581

Implied volatility string dynamics

Fengler, Matthias; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Persistent link: https://www.econbiz.de/10009663844