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The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202

Persistent link: https://www.econbiz.de/10001905297

Linear and nonlinear Dirichlet share equations models

Ronning, Gerd - In: Contributions to modern econometrics : from data …, (pp. 185-207). 2002

Persistent link: https://www.econbiz.de/10001905306

Identification and inference in nonlinear difference-in-differences models

Athey, Susan (contributor); Imbens, Guido (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001921606

Exploring credit data

Müller, Marlene; Härdle, Wolfgang - In: Credit risk : measurement, evaluation and management ; …, (pp. 157-173). 2003

Persistent link: https://www.econbiz.de/10002001903

Bootstrap neural network cointegration tests against nonlinear alternative hypotheses

Kapetanios, George (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 7 (2003) 2

Persistent link: https://www.econbiz.de/10002004109

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...

Persistent link: https://www.econbiz.de/10001845699